They have a tower SSE of Riften, way up on the mountain. I found it while exploring corners I hadn't been to yet.
First a wood elf with a staff of conjure familiar attacked me, and while looting him, I noticed a steep trail up the mountain. So I went up, saw the tower and assumed it was a bandit keep. Followed a left branch until I found some large blood stains, one after another. Hm, this here be troll marks! Sure enough, I found one. I kept his interest alive with an occasional arrow and kited him to the tower, figuring I could get the bandits involved. To my surprise, they were Vigilants. Two of the three died to the troll. The survivor cured me of rock joint, or something, and I headed down the opposite of where I'd come up to the tower, and found an angry, hungry cave bear. I ran back to the tower and that bear just barely survived long enough to kill the vigilant. So I punched the bear on the nose and finished him off.
Vigilants are a good source for the Amulets of Stendarr, btw.
