Here are some safe storage places that are free.
1. Go back to helgen and find the inn. There is an end table and wardrobe that keeps your items safe.
Another safe storage location is right in Whiterun- start out the 'join the companions' questline, and they will let you use a bed in their basemant bunkhouse. You can use the endtables (dresser? one or the other) next to the bed to store extra stuff until you can get a house.
Also, if you don't want to bother with torches, just spend a few gold for the Candlelight spell, and you'll always have a light, no matter where you are. Even non magic chars with base magicka can use it. You can buy it from the store in Riverwood, or from Belethor or the court mage in Whiterun.
PS: does anyone know a way to cancel the Candlelight spell? Or do you always have to wait 1 minute for it to burn out?

