The Anvil of Fury is an anvil in Diablo and Diablo: Hellfire. In the quest with the same name, Griswold will ask you to retrieve this item for him, so that he may use it to forge weapons. The anvil can be found on a peninsula on the tenth level of the dungeon (the second level of the Caves), where it is heavily guarded.
After the player returns the anvil to Griswold he will forge the Griswold's Edge and give it to the player.