How to Find Enamel-Coated Copper

As usual, the Internet will be your best chance at finding enamel-coated copper. The Internet allows you to see what is available worldwide, and you can use it to compare prices to make sure you are getting the most for your money.
Good places to start would include GlobalSources.com and OSElectronics.com.

If you prefer to do your shopping in person, visit a retailer in your town. Try craft stores, electronics stores like Radioshack and Best Buy, and music stores like Guitar Center. If they don't have what you need, they may be able to special-order the wire you need.
The term magnet wire is also used to describe enamel-coated wire.

If you have a specific gauge or length you are looking for, try using the shopping search engine provided by Google: http://www.google.com/products
Google's shopping search will compare prices from retailers around the world.
Another great website with similar capabilities is thefind.com.

The old standby is the Yellow Pages. Search for a local retailer near you under "Electronics" or "Wire."

You can save money by buying directly from the manufacturer. You will probably have to buy in larger quantities. One great wire manufacturer is Belden. Their website is belden.com, and you can reach them by phone at 1-800-BELDEN-1.