Depends on the size and quantity you need. If you only need a small piece your local hobby store should have styrene from Evergreen or Plastruct. But that can get pricey for large pieces or greater quantities.
If you need larger sheets, you may have a plastics supplier near by, check the yellow pages. High Impact Polystyrene, or HIPS, is what you're looking for. A sign shop may also have some.
If you can't find it locally try online. I've found decent prices but the shipping can kill you :lol Lately I've been ordering from ebay dealers, there are several ebay stores that sell small quantities with good shipping rates.