There are several chests under the water. Upon first entering the Grotto, eavesdropping on the conversation between the Blackblood Marauders (switching on subtitles can help) gives the player an indication of where much of the loot is hidden.
In the front of the large half sunken boat, under the Forge and Workbench, is a chest which may contain the Moon Amulet for the follower Kharjo. The amulet and chest is not there on Xbox 360 under either boat.
There are many Bear Pelts lying around, as well as many bottles of wine.
There is a section of the cave in which there are floorboards with a hole in them. Inside this hole is a bucket. This bucket may be used as a toilet by the inhabitants of the cave.
By dropping the bodies of the dead into the water here and looking at them from the walkways above, they will look like ghostly apparitions when they float back to the surface. If you take all or most of the bodies and drop them from the walkway near the Wood Chopping Block, they will surface near the middle of the open water area near the dock, giving the look of an eerie ghostly graveyard.
A loot chest can be found on the top floor of the construction build at the end of the cave.
With the Dawnguard DLC, the grotto is surpassed as the northernmost point by Castle Volikhar, which surpasses even The Chill for how far north it is.
PS3 PC Reanimated, thralls and followers may not exit with the player at this location. If possible, leave your enthralled beings out, at least until it's fixed or a way to bring your thrall out is found. Confirmed for XBOX as well as of Dawnguard.
PC Fix: Barbas, reanimated or thralls, or other followers may get stuck in some cells (locations) and may not go outside with the player. To fix that go back inside and find the follower/thrall in question, open the console and target the individual who is stuck (you should see a number RefID). Do not click on anything else and close the console. Next, go outside and open the console again to issue the command: moveto player. Now close the console. Your thrall or follower should be standing next to you outside the grotto.
Xbox Fix: For followers, exit the cave without dismissing or asking the follower to wait, then fast travel to Septimus Signus outpost. Wait there 24 hours. Fast travel back to Broken Oar Grotto. The follower will now be standing outside the cave.
360 Chest in hideout is not there (see gallery photo)
360 PS3 While swimming through the water, there are small patches that have a seeming undertow effect. You will immediately be dragged from the surface to the bottom and be unable to resurface until you swim away from that spot.