In the US, Radio Shack. They sell a pack of 3 sizes on small spools.
It's called "magnet wire", just in case nobody's mentioned that yet.

http://www.radioshack.com/search.asp...age1.y=0&SRC=1
278-1345

That's what I used for the coil wire, the heaviest gauge wire that came in
the pack didn't work for some reason, but the next size worked great.

Rob