Local scrap yard sells it by whatever mood the guy in the shed is in that day. You can sometimes find good cut off pieces from brand new stock, old machines with good steel in them and so on. But you also find lots of reject tubing from local manufacturers, etc... that could be un-safe for use.
Usually, I just ask if I can poke around for some stuff and they let me. Got to be very careful, though. LOTS of sharp pointy stuff to get impaled on. Actually, I'm surprised they even let me go in there at all. There use to be a scrap yard in town that would sort and stack all good bar and tube stock on racks and re-sell it to the public. But they only do wholesale scrap now. Another good source of steel is scrap farm implements. Lots of them laying around in farm country. While many farmers keep it for repairs and such, lots of farms will sell you a piece or even let you take it if you promise to take it all, clean up the mess, and don't start their fields on fire with a cutter. /forums/images/graemlins/shocked.gif
At one time there was a manufacturer here in town that made all kinds of stuff from stainless steel. They had wild patterns and curly scrap from their cutting and stamping processes, but no big pieces. Still, it was a great source of steel for begining welders learning how to weld stainless and a great source for the local artitst, too. So, be sure to check you local manufacturers for scrap bins and such. They are becoming more scarce as the price of scrap steel goes up, but they are still around.