It can be really expense in your lfs, much cheaper online. The rock at my lfs is like $7/lbs., so I ordered mine online when there was a free shipping offer. That expired, but I'm sure there is some out there.
Info on how to make your own- Search for DIY Live Rock on this forum. There should be at least a couple threads (I know of one...but I'm sure there is more) that give you instruction.