The best axe in the game is the Blades of Aesir, which turned up once for me in either the Keeper's chest or the Rapax queen's chest (that was awhile ago and I don't recall exactly). It's quite a good weapon, but being it's random, there's not much point in building up axe skill in the hope of getting it.
What the designers should have done is put in one good axe as a fixed item, the way they did with Fang, Staff of Doom, Cat O' Nine Tails, and Diamond Eyes.
As it is, you're better off going with sword or polearm skill for fighters, even a Dwarf
Nightowl2