The first thought was the Underground Repository, but it was a pain to go all the way to my cell to get my stuff and besides that I killed all the staff there anyway so it was pretty empty =/
In the end I decided to choose the sword/cleaving/bludgeoning training place at Blackwater. I'd already looted the helmet before when Sonya wasn't looking, so I placed my stuff in the empty chest.
However, when I needed to retrieve my stuff, well... Sonya got kinda pissed.
Since I needed my stuff, and she was clearly against me taking it, I kinda had no choice but to kill her.
So my question is...
Will all NPCs get mad if you store your stuff in their chests/drawers?
EDIT: I solved my storage problem in the end! I chose the safest place possible for my valuables... a barrel outside the the pub in Bordertown
