For an air compressor, I got mine at Sears. They aren't all that expensive if you use it for other things too. A lot of different places carry them, Lowe's, Home Depot, Menards, Fleetfarm, ACME Tools. I think it would be better if you buy local so you can actually talk to the salesperson to learn as much as you can about it. I also had to call an electrician so I could get the correct wattage.
I get my pneumatics from Frightprops but, I know that ebay has some great deals. You can always write down the list of things you need for your prop off of other sites and then hunt for them indivdiually on ebay.