In the Underground, if you're lucky, but there is also one hidden directly behind the exit of Victory Road. Use the ITem Radar as soom as you come out of the cave.
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Spear Pillar is at the top of Mt. Coronet (Sky Pillar, where you catch Rayquaza in Pokemon Ruby, Sapphire, and Emerald, does not appear in Platinum).
You can get Shaymin in sky form only in Pokemon Platinum Version.