This is probably one of the worst options overall, home depot carries only a very few things that are really good in the laser. There are about as many sources as there are materials, so here are a few tips. Check out #1a, and #2. (Oh, and #4, important stuff to know)
Beyond that, if you tell us what your big city is, we might be able to give you some ideas for local stores. There are a lot of us here, and we love a good material source.