Kodlak Whitemane's quarters in the Jorrvaskr Living Quarters in Whiterun, in a locked display case. Kodlak carries the key that opens the display case. It can either be pickpocketed from him, [>>>Quest Spoiler Alert<<<] or it can be looted from him when he dies during the Companions' questline.
Requires Royal Armory.
"The Harbinger's Axe was given to Harbinger Terrfyg by Hircine, the lord of Werewolves. The axe was both a gift and an insult, for while this was a truly powerful artifact, it was also a cruel reminder that Hircine was now controlling Terrfyg’s destiny."