Many of them I have collected myself- especially the ones from the Arctic. Wherever I travel I am always on the lookout for good stones. If I am in an unfamiliar part of the country I will often check out what the local buildings are made from. This usually gives me a clue as to what the local rock is like. I have learned that stones that have the most beautiful visual qualities tends to be from areas that have had a lot of tectonic activity in the past. It seems that the internal pressure that creates high hills or mountains is also good for creating spectactular stones!
I also rely on individuals who know an area better then I do. I am generally either prospecting for rocks, or prospecting for prospectors!
I will occasionally go to a rock and mineral show. A good one here in Nova Scotia is the Parrsborough Rock and Gem Show that is held every year in August. This is close to Joggins, NS- a famous site for fossils.