eBay or Amazon are the obvious choice, but there are a number of online retailers that sell foam fingers.
Here's a link to several that I came across through a simple internet search:
wavyhands.net seems to be the biggest retailer of these foam finger products, and I'm sure individual sports teams will stock their own branded versions if that's the kind of thing you're looking for.
Buying a foaming finger sounds like one of those impulse buys my son might make, so my advice would be to ask yourself whether you even really need one. Sorry to be a killjoy here, but too many youngsters these days wasting money on novelty items - there are vitals causes that need your money too. Remember that when you're strutting your stuff with a foam finger in hand.