In every Locker (Object).
Inboxes contain all Letters and Parcels that are mailed to a character in a town and items purchased or taken from the Market.
The Inbox is located in each Locker, along with a Depot Chest, the Supply Stash and access to the Market, it holds all Letters and Parcels that are sent to a character and items that are purchased on the Market. It can be opened like any other container, but while items can be taken out of it, no items can be put directly into the Inbox. If a player tries to sell an item on the Market and either cancels the offer or the offer expires after 30 days then those items are returned to the user's Inbox.
There is not a maximum amount of items that can be held in an Inbox.
Before the Autumn Patch 2012, Depots were not Global, and the same was valid for inboxes, which meant that items in a character's Inbox of a given town could only be accessed by that character from that city. Because of this, it used to be necessary to specify a city when mailing letters or parcels.