I tried the search function, and found some threads where someone had posted locations. I went to those locations, and didn't find 1 gem.

I'm a witchhunter/thief, so stealing is not a problem.

I've raided the redoran treasury. Are there any gems in the Hlaalu or Telvanni vaults?

In the Balmora Mage Guild, the girl on the top floor sells them.

"grand".. not "greater"
Yellow/orange.. not purple/indigo.

I remember being given one at some point in time. It wasn't too far into the game, but I cannot recall how I got it. Sorry man.

I remember some dungeons got it. of which I can't remember. :(

That's ok.. There aren't that many in Morrowind..

:mrblue:

err..I thought there were hundreds of dungeon in Morrowind? ;)

I know this is off the topic here.. But where exactly are the treasuries in the Redoran/Talevanni/Hlaalu (im assuming you mean in Vivec right?)

I've only been in Hlaalu and Redoran but I've never seen any kind of treasury vaults.

And too keep this somewhat on topic.. I didn't even know there was a Azure Star until i saw it on here today, but can't you use that?? Ive heard its like a reusable grand soul gem..

Take a look in Tel Fyr. There are a good deal of soul gems in all sizes. They are not being watched, so you can simply pick them up. One of them is worth 60.000 or something like that!
I do not remember how many are empty.

You can also pick up the gems in Balmora upstairs. You can do this during the mission where you swap the gem in the desk for a fake one. While on this mission the person watching the desk will be downstairs.

You also get 2 grand gems for a quest to build your stronghold if you are of House Telvanni. I dont know about the other houses.

In Redoran/Talevanni/Hlaalu compound in vivec, go to their plaza. search for doors that mark treasury.