New Haven on 2nd Playthrough until you get the DLC (Or they might have patched it without the DLC if theres no more red chests there).
Other then that, check the shops everytime you go to town, the Crimson Fastness and Eridian Promontry both have 7/6 red chests.
Once you get the Secret Armory, you'll get Legendary weapons out the ass. Beat all the missions (Keep checking the shops while your playing, but they cost a shitload of $), and loot the chests at the end. Dunno if the armory glitch still works.
After you hit 61 just kill Crawmerax and he should drop more then you can hold.
I know one place to farm a Pearlescent Shield, at the Roads End (After you reach the Devastators/Lance Assassins, right before the Armoy), there should be a Badass Lance that spawns to the left. He usually dropped a pearl shield on different occasions.
Look for a decent Vitrolic Crux shottie. They work great on a majority of the enemis in the DLC.