Riften, pretty much when I walked into town. Mjoll The Lioness. She said something about not liking the Thieves Guild, I agreed with her bringing up that she needs help recovering her sword Grimsever from a Dwemer ruin. Can be a companion as well, gives 100 gold every day. And I think she can't be killed. I'm assuming this because of a possible Thieves Guild mission where I might have to fight her, but I haven't done those.
Other people have said companions and wives can be killed, just for fun I went crazy in Solitude with her, there were 5 npcs that could only be knocked out, they got the best of her but she only went to one knee and got back up.
Plus she reminds me of my wife. Only problem is her friend Aerin follows her around too (just in the house). One time he asked me if I was lost, I wish I could tell him to get lost, lol. One time I attacked him and she attacked me, haha. Another time I had her join me as a companion and attacked him, she stood there while he stabbed me until he accidentally stabbed her, one swipe of her axe and he was out. This game is too much fun with random stuff like this!