Off the top of my head, the only places that I can think of where you are CERTAIN to find an artifact are in the Vault of Time, the chest you get to open when you've finished the Arcomage quest, and one of dungeons in Shadowspire, as part of another quest. There should always be a fourth in a chest in one of the rooms in the Necromancer's Guild as part of another quest, but sometimes it doesn't turn up and you have to reload the position until it does. (This does not count as mephistoing, it's to overcome a slight glitch in the game.)However, there is a whole slew of places where you are LIKELY to find one. Some of those are:
in all the dragon caves,
in the "hidden" treasure chests, and
somewhere or other on the Plane of Fire - location varies.
Without giving too much away, there are hidden treasure chests with high-level goodies in Ravenshore, Alvar, Ravage Roaming, and Ironsand Desert. There may be others which have slipped my mind just at present.
It is however POSSIBLE to find an artifact almost anywhere sufficiently advanced. You're extremely unlikely to get one anywhere in Dagger Wound Islands or Murmurwoods, but apart from that, I've picked one up in all sorts of places at one time or another in the later stages of various games - before entering the Plane between Planes, that is. You don't find any there.
