- Southern Shiverpeaks
In Talus Chute, just outside of Camp Rankor, he will be visible before you need to fight. Just stay on the path and his group will be the first major opponents you'll meet. If he's not there, go back in and come out again. There are usually four Azure Shadows with him. Watch out for more that may pop in. This is an easy fight with henchmen.
In front of the entrance to Thunderhead Keep (location) there is a circle of stone walls. Frostbite sometimes spawns there, but, unlike other Nightmare bosses, Frostbite will not be in plain sight but hidden like regular Azure Shadows. There are several regular Azure Shadows hidden with him. (Frostbite appears roughly 1 out of 4 times.)