I know one already:
in the garden - в саду
We study 6 cases at school, and things like this we call exceptions. However, this is locative case from old Russian. Did you notice all these nouns describe where, they point at the location of object?
And a tricky example:
Locative forms are not used when the noun is a part of a name of a work.
If your understanding of Russian permits, you may read an article about other "hidden" cases that are often considered exceptions.
The ones that come first to my mind (apart from already mentioned) are:
There are more of them, it's rather hard for me to remember more :D.
I added some more examples of nouns ending with -у in the prepositional (aka locative) case to the Yellow Sky's answer (pending peer's review). There are many more of them still not mentioned.
In this answer I would like to concentrate on the phenomenon of such words, finding common patterns in them, and suggesting the ways of finding them instead of just listing them. Kind of following the Chinese proverb: Give a man a fish and you feed him for a day. Teach a man to fish and you feed him for a lifetime. :-)
I noticed that for all these words the following is true:
Correct me if I'm wrong but I think in the Old Russian almost all the nouns had such form. With time these forms started to be supplanted by more modern forms of prepositional (locative) case but some words resisted and are still keeping their old forms in certain meanings. This my hypothesis is confirmed by the fact that the words borrowed/created not very long time ago do not have such forms. F.e. compare мёд (old word) and йод (more new). It is possible to say выдержанный в меду, but it will be выдержанный в йоде - not йоду for йод.
The name of the phenomenon
According to Zalizniak's dictionary this phenomenon is called the "2-ой предложный падеж" (second prepositional case). Russian National Corpus website calls it "предложный 2", or, in their English version: "locative 2". (Interesting is that locative - not prepositional - is used as the translation of word предложный for grammatical cases. You can see the "official" list of Russian grammatical cases by clicking "выбрать"/"select" close to the "Грамм. признаки"/"Gramm. features" text box).
All the words that can form locative 2 are marked with the sign
Here is the excerpt from П₂ definition by Zalizniak:
How to find these words
One possibility is to open the online version of the Zalizniak's dictionary and scan it page by page searching for the mark "п(2)". (For example, look for word "сад" on the page references above). At least this is until a better (for our purposes) version of the online dictionary exists which would allow searching by marks. :-)
Another possibility for finding such words is by using the National Corpus. Click this; click on "select" close to "Gramm. features"; in the following popup check "locative 2". ; on the main page click the "search" button. In the results of search you will see the words in locative 2 case put in the context of their usage.