One of the cheapest places I've found it was in blocks at health food stores (I believe I found mine in Vitamin Cottage). You could also try Whole Foods, Sunflower Market, or other Organic Foods and Farmer's Markets in your area.
They will definitely also have it at craft stores, usually you'll find it with the other soap making supplies - often times there it's sold in small bags of wax beads - and it's more expensive than in the blocks. The beads can be easier to work with, but I don't have any problems shaving or cutting the amount I want off the blocks. I believe you might even be able to find those bags of beeswax beads in the craft sections at Walmart, which always stays pretty competitive on pricing!
There are loads of online retailers that you can buy it at, too... just look around for some of the different popular sites that sell soap making supplies. There are tons of them if you do a google search. TKB Trading is one of the ones I have purchased beeswax from online off the top of my head. Of course, online you'll have to pay for shipping and factor that into the cost, unless you can find it on Amazon with Free Super Saver Shipping - but I still think you should just mosie around the health food store beauty product sections, and other aisles of random products besides food they always have. You'll find it there!