Okay, so, what's the place where you leave all the stuff that you find?

I have multiple of those. Some locations with minor treasures I might already have forgotten. And I keep all the Daedric artifacts in the tiny chest under the bed in the Abandoned House in Markarth.
I might just sell some random generic loot, but oftentimes merchants don't have the money to buy it all. The rest go to a certain chest in the Archmage's Quarters. The place also holds a closet for special apparel. I have most of my stuff there, at "home".

I always mark my treasure spots with Centurion Dynamo Cores. They glow neatly. That said, I think I have one - and that means also loot - in the Dwemer Museum...

I keep everything in my Lakeview Manor home in both of my "active" games. Its all well guarded by my wife Mjoll (or Jordis in another game), my housecarl Rayya, and my steward Lydia who all sport enchanted weapons and gear to fend off any evil doers who dare try anything.

I do keep a few things in the Archmages quarters, but for the most part, EVERYTHING is kept at Lakeview Manor.

I carry my precious with me.
But seriously, my characters usually store valuables in their home or 'home' (like the Archmage's Quarters), depending on the character.

In my house in Riften, my most used HQ.

In a chest.
Or safe.

Riverwood trader. After I built HH, and turned it into a museum, once I collected all 8 generic bows of the game, a few specialty apparel, and a few items for personal use for later upgrading, keeping things just felt pointless.

When TES 6 gives us freaking display cases we can use, then I'd reconsider keeping these treasures.

What's the point if they're only going to be hidden away in a box somewhere.

I have tons of money now so I sell to the traders all the loot.

Hjerim

In a chest in the Thieves Guild which is my most frequented location and headquarters or in my house in Soulitude's safe.