This article is from the Miniatures Painting FAQ, by Brenda Klein firstname.lastname@example.org with numerous contributions by others.
Game stores are, naturally, the best choice. Some comic and hobby
shops deal in miniatures, so ask around. And a lot of companies do
mail-order for those who live bereft of their product sold locally.
The yellow pages is where to start, after that you get the feel of
where to look.