Venus flytraps are best purchased from Carnivorous Plant nurseries. A common Venus flytrap usually costs between $4 and $7. There are many retailers out there on the web where one can buy a Venus flytrap. I have ordered plants from a few of them and, for the most part, I have been very happy with the health and size of the plants.
Here is a list of US retailers that I have either ordered from myself and recommend or I have heard from someone I trust that they sell nice plants:
Here is a shortlist of international retailers:
You can find a longer list of retailers here: Carnivorous Plant Retailers
Occasionally, you can find plants at your local nursery, but typically these plants are not in very good condition. They are usually light deprived (etiolated) and have been watered with impure water, leaving them barely clinging onto life.
Sometimes large retailers like Home Depot, Lowes, and Wal-Mart carry the plants as specialty items. This is where I found my first Venus flytraps. The plants that I found in Wal-Mart were pretty healthy, but it is best to get them before they sit on the shelf too long.