Several chests and weapon lockers can be found in the following locations - .Old Haven .New Haven (rooftops and Claptr4p) .Dead Haven .The north and south roadblocks (Secret Armory DLC)
Personally, I also enjoy Tartarus Station, after being given the key to the storage facility. The room has many red chests in it, always random. Have had decent luck getting quality weapons, and there is a vendor right there to sell unwanted items to. Almost always able to sell off over $1 million dollars worth of items.
I'm not sure if this is lookedf upon well by other Borderlands veterans, but, you could always do the Armory glitch.
Personally I think Gearbox did the glitch on purpose so you can get everything in there. I would think they would have patch it by now.