To start things off, this isn't called an Ultimate Armory because it looks nice. It's called the "Ultimate Armory" because of the sheer usefulness and utility that it holds. This armory comes complete with all the game workbenches and utilities in one room (such as the smeltery, arcane enchanter, etc.) and has two rooms for item storage. One for Vanilla items and another for modded items. It also includes four more rooms for armor displaying. Two rooms for modded and Vanilla Light Armor sets and two rooms for modded and vanilla Heavy Armor sets. This armory also includes enchanted doorways that lead to all the playerhomes in the game including the Hearthfire ones. However, you will need to have at least accessed the homes and bought them (and in Hearthfires case fully constructed them) to be able to access their respective hatches in the "Hall of Residence."

The location isn't available on the map. The armory is accessed through specific hatches that lead to a "Hall of Residence" in each player home.
Currently these homes are supported: (If you own them first)
Breezehome
Heljarchen Hall (Hearthfire)
Hjerim
Honeyside
Lakeview Manor (Hearthfire)
Proudspire Manor
Severin Manor (Dragonborn)
Vlindrel Hall
Windstad Manor (Hearthfire)
If you own more than one home, the Hall of Residence will allow you to quickly transport between them as well.