Get 'em directly from thera-band.com. They're the ones most used by professional baseball players and certified athletic trainers and physical therapists. Different color bands equate to differing levels of difficulty. Alan Jaeger has a version, called J-Bands, which are good, too, at jaegersports.com.
If you want to get them locally, check Dick's Sporting Goods or the Sports Authority (or even Wal-mart). They don't have Thera-band or J-Band, but have a version of them.