SET® can be hard to find. You'll rarely see it at "mainstream" game stores like Toys 'R' Us, or at discount stores like WalMart. The best places to look are the kinds of places I (Mag) call "yuppie toy stores" -- the kinds of places that have lots of educational and upscale toys, games, and puzzles. The kind of place you'd go to buy an aerobie, or high-quality juggling balls, or science-related toys, or... well, I hope you get the idea.
If you happen to be located in Champaign-Urbana, Illinois (home of the SET® Home Page), try Art Mart Toys in Lincoln Square mall, or The Gallery in downtown Champaign.
If you can't find SET® in your area, you can probably find out where to get it by contacting SET Enterprises, the makers of SET®. Their address is:
SET® Enterprises, Inc.
15402 E. Verbena Dr.
Fountain Hills, AZ 85268-3504
Ph: (602) 837-3628
Fax: (602) 837-5644