needleworker
Try doverbooks.com they have an amazing selection of books and I know they have colouring ones. They even have free samples to download.

Wiz
Try Staples, Office Depot, or an office supply store, and look in the aisle with teacher supplies (whiteboards, dry erase markers, certificates, etc). They usually have supplies that elementary school teachers can use in their rooms, and they may have coloring books. Also try searching for teacher supply stores in your area and give Toys R Us a shot; they usually have a section for educational products.

patsworth
I have seen a lot of them at Hobby Lobby and HobbyTown USA, if you have any of those in your area. You can order online at hobbytownusa.com.