There's one of these in Dawnstar, too: to the left of the iron mine, in the rocks under the overhang there. They belong to the Khajiit caravans, so there should be three of them, but I haven't found the third one yet.
I typically use these to get a new character up and running, since most of the contents can be sold at blacksmiths, who have the most money. The filled Soul Gems can be used to work on Enchanting, while the empty ones can be sold off to general stores or traded in to mages for spell books.