Its just east of Whiterun a very small cave by the way.
Blackreach. I absolutely could not believe the size of the place - it staggered me. I actually thought I'd never get out of it at one point, it was so immense! The dungeon/cave spaces are very well done and are an experience in and of themselves. I know I didn't manage to see the half of them, either.
This is the truth, in my opinion.
It is like a mirror image of the "above ground". Waterfalls, buildings, lakes....
All that Dwemer architecture gets me every time. Oh, and the sounds in Blackreach are just magical.
Mind you, it's royal pain trying to find all that Crimson Nirnroot!!