The three treasuries - Common, Noble and Royal - are located in the Guest Hall of the Sanctum of Odin.
 
To get inside a treasury, you will need a specific number of pendants - Wooden, Steel and Gold - depending on the type of the treasury you want to open. The content of the Royal Treasury is definitely the most tempting, but pendants opening it are the hardest to find.

Pendants of different types can be obtained by killing enemies in the Sanctum of Odin.