It really depends what type of feather you need. For hair feathers you can usually get them from a salon. Feathers like peacock and ostrich are often available in small quantities from florists or at craft stores. For dyed or "synthetic" feathers try a specialty store. If you live in a smaller town, then try and find one online. I was making a peacock centerpiece and found http://www.moonlightfeather.com. I was happy with the price and selection.
You can buy feathers from a variety of sources. Most craft stores have them as well as department stores with craft departments. You can also look for craft supply stores online. You can find more information here: http://www.allcraftsupplies.com/
Real feathers can be hard to find and expensive, but one can purchase them through online specialty stores and taxidermy shops. Synthetic feathers can be found at craft shops such as Michaels or Hobby Lobby, and they are also sold in department stores with craft sections, such as Wal-Mart.