Anor Londo, at the bottom of the mechanical turning staircase when at the lowest level.
Points of Interest
A bonfire is here, which can be a good staging point for the boss Dragon Slayer Ornstein / Executioner Smough. However, if you rest at it before entering the Dark Sun Gwyndolin boss fight, you will re-spawn at the bonfire at the start of Anor Londo.
Darkmoon blade covenant ring (for joining the Blade of the Darkmoon)
Ring of the Sun's Firstborn
Blue Eye Orb (for joining Covenant)
Brass Armor and Sunlight Blade Miracle after you have killed the boss Dark Sun Gwyndolin
Darkmoon Blade only if you reach +1 in Blade of the Darkmoon