Depends on what you are looking for. I usually go to Target, WalMart, Michaels, Joann's, Party City or the Dollar Tree to find things. Once in a while if I really need something "different" I'll look on-line. I do a lot of DIY kind of things though.
Michaels has a small baby shower section and the stuff is cute. My mom had some ideas for creating centerpieces and such so she got everything from craft stores.
Re: Places to get baby shower stuff
etsy.com
Hobby Lobby