You can sometimes buy CD's of sound effects, or go to sites that have sound packs of various types of effects. However, often if you are looking for random sound effects that cover a range of different sounds it is easier to download individual sfx. There are quite a few places that have free sfx, though many of them are pretty low quality. Still there are quite a number of websites with libraries of sfx that are cheap enough, and also may have some free ones on there.