*most pet stores esp. Those that have fish for sale and reptiles will have live mealworms, crickets, etc. Usually you have to ASK for them because they keep them in the stock/storage rooms, so as not to freak out the bug phobic, I think.
PetSmart has them. Ask for them in the fish department, they keep them in the fridge in the back.
I'm pretty sure that to raise them yourself, you would leave them OUT of the fridge, and then they will turn into some sort of beetle looking thing, and then reproduce. Don't know for sure, I've never done it. Worms of any type wig me out. I feed my chicks mealworms and my Bearded Dragon Superworms, but I use hemostats to grab them. Ick.