It's not so much WHERE you can buy a good chef's knife, it's WHICH knife you buy. Do your research. When you decide which knife you want to buy, check out where in your area they're sold. Bed Bath & Beyond generally has some quality knives. Don't go to Williams Senoma unless you have lots of money to spend. Target, Wal Mart, K-Mart, and those types of stores sell "low end" knives. Don't skimp on quality for a really good chef's knife.
P.S. Some sites on line offer overnight shipping, so don't rule them out!