Big Box home improvement stores. It's polystyrene foam ridged insulation.
Oh,and do not paint it with spray cans. It melts. Give the stuff a good coat of craft acrylic or cheap house paint and then you can do anything.
As to the house paint base coat look for light colors that were rejected in the custom mixing area. They usually go for far less than the retail price. You're just using it to protect the foam, color is not a big concern.
Rule One of making terrain is do not think hobby store. Everything is material if you look at it right.