Ahhh, I remember my excitement when I got ready to get my first system. Congrats! You're in for a real treat.
My default site for reminding myself of which gauge speaker wire I need is the one at
this link. I think that it's a great site, with both the recommended gauges and the explanation for why they are recommended.
Monoprice and Blue Jeans (as Greg suggested) are regular recommendations around here because people have been happy with them, but you can get wire and cable at a lot of places. You can certainly get it locally, with some examples being Best Buy, Radio Shack, Target, and Home Depot. The key is in knowing what you want and not paying too much. Best Buy and Circuit City tend to carry (or at least did when I was looking) Monster brand cables and wires. Not bad stuff, but not worth the extra money. If you can get Best Buy to cut you a deal on cables and wire if you buy a receiver and/or speakers, then it just might be worth it.