The Grey Warden Vault in "Dragon Age: Origins" is a gear cache maintained by the Grey Wardens to help defend Denerim against assault. Considering the circumstances -- hordes of Darkspawn, possible civil war, impending genocide in Ferelden -- your Warden could probably put that gear to good use. While this vault is available for most of the game, it can be missed if you don't know how to find and unlock it.
Unlocking the Vault
After you complete "Arl of Redcliffe" and the main quests in the other hubs to rally allies, you'll start "Rescue the Queen." This quest takes you to the Arl of Denerim's estate, where you can find the "Grey Warden Documents" in a "Chest of Documents" in the last room before the dungeon. Inside the dungeon, talk to Riordan about the papers, and then ask him about them again at Arl Eamon's estate. He'll tell you the location and render the vault accessible, but find him before Arl Eamon leaves for the Landsmeet -- otherwise, it will be too late.
The vault's entrance is in the Market Warehouse in the Denerim Market District, next to the store "Wonders of Thedas." The entrance is hidden behind a bookcase at the back of the warehouse on the southern wall. Once inside, you'll find some special weapons and armor, some leveled Grey Warden gear and gift items for both Alistair and the secret companion.