South of Aleroth, there's a grave with a sentence saying something about X the cautious who fled the raiders only to fall on a band of orcs. The grave's empty and there's a shield right on it.
Out of the frying pan and into the fire! <img src="/ubbthreads/images/graemlins/delight.gif" alt="" />
Graves have no deeper purpose (no pun intended). There is a set in the graveyard that are part of a quest, but they're a little more obvious.