Buy a house and drop it in the chest (usually near your bed). You can also just drop things in your house, they won't go away.
E: I totally thought it was worth buying the house ASAP just for that, the Whiterun house doesn't cost all that much anyways, even if you aren't that high of level you can farm up the required money fairly easy.
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You can get a companion and use them as mules, also.
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Hint (unless they patched this): drop an item and command a companion to pick it up (don't trade it to them). It bypasses their weight limit, allowing them to carry infinite items.
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In any of the 4 major cities (Whiterun, Windhelm, Solitude, Riften), you can buy a house from the Jarl's advisor, when you gain some reputation in that city. Best way is to go straight to the jarl's advisor and ask for quests. As for Whiterun, I believe that you have to kill the dragon with Irileth to be able to purchase one.
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Solitude you need to do quests for the people around the city (even once you get enough reputation with the Jarl that's still required and doing quests for them earns reputation for the Jarl so it's just an easier process). Whiterun allows you to buy the house as part of the story (so yeah, the dragon).
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You've either got to buy a house or use a companion as a pack mule. That's really your only two options.
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Well. Windhelm, the place that is snowy you can drop all your belongings to the barrel next to the blacksmith and they wont disappear
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I have alot of valuable and spare equipment which I don't want to throw away and it's taking up my inventory. Is there some safe place I could store it, that when I come back for them, they are still there?
Thanks.
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