You can find Soul Gems in Oblivion through several methods and locations:

• Buy from Vendors: Mage Guild members and alchemy shops in major cities like the Imperial City often sell Soul Gems, including Petty, Lesser, Greater, and sometimes Grand Soul Gems

• Loot from Enemies: Necromancers and other magic-using enemies frequently carry Soul Gems. Killing them and looting their bodies is a reliable source. Some caves with necromancers, such as Kindred Cave and Bloodrun Cave near Leyawiin, have chests containing Soul Gems

• Find in Chests: Soul Gems can be found in chests scattered throughout the world, especially in Mage Guild halls and dungeons. For example, Melisande's secret basement and vault guardians in Frostcrag Spire (with the Wizard's Tower plug-in) have Soul Gems

• Create Black Soul Gems: To get Black Soul Gems (which can trap humanoid souls), you must place a Grand Soul Gem on specific altars used by necromancers, such as those in Dark Fissure (south of Cheydinhal) or Wendelbek (east of Bravil) during the Shade of the Revenant event, and use the Soul Trap spell

• Azura's Star: This is a unique reusable Soul Gem obtained by completing Azura's Daedric quest at the Shrine of Azura north of Cheydinhal. It can trap grand souls and is not consumed upon use

• Farming Spots: Some players farm caves with necromancers or specific dungeons with soul gem chests to gather large quantities of Soul Gems. An example includes a trap door area in the woods near a location called "Say a Tatar" (exact name unclear) where chests respawn Soul Gems

• Thieves Guild and Duplication: Soul Gems can sometimes be stolen from Mage Guilds and then sold and repurchased from Thieves Guild vendors to remove theft penalties. Duplication glitches or console commands can also multiply Soul Gems, though this is outside normal gameplay

In summary, the best places to find Soul Gems are Mage Guild halls, magic shops in major cities, necromancer-infested caves, and specific quest-related locations. Buying from vendors and looting necromancers are the most straightforward methods, while Azura's Star offers a permanent reusable option