There are many items (some useful, some not-so-useful.) Amongst the useful items are potions/poisons, enchanted armor/weapons, and soul gems. It's related to a wandering Kajiit trader, and the chest will respawn when the trader's wares respawn.
The chest is located in Dawnstar to the left/east of the Iron Breaker Mine entrance. There are three rocks arranged in a triangle and a small pine tree. Look between the mountain and the rock closest to the mountain which is partially under the tree. You may need to crouch. It's invisible, but your crosshairs will pick it up.