Odin can be obtained at the Horseman's Rest (cave). It's located south of Esto Yensa (the pyramid) on the Ivalice continent (the southwestern one), slightly southwest of the Citadel (game's first part). During the game's second part, the general location is the same, but the cave is now surrounded by mountains and only reachable via airship.

Bahamut (during the game's second part only) floats around between the Lenadia and Lindblum continents (the eastern ones), north of Crescent Village and south of the Arcane Library.

Please check the overworld maps in the game's maps & guides folder, which should make it easy to find the aforementioned locations.