The only brick and mortar chain on a national scale I can think of is Radio Shack who sells
a complete basic stamp kit for $99 as seen in the link. It does have everything to get someone going including a book, however, using online ordering the possibilities are endless. Before buying it is really a matter of deciding which family of microcontrollers you want to start with and learn a little about. There is no shortage of tutorials out there including some hosted by forum members here.
Also, per tom_pay SparkFun Electronics has a good line of stuff to get going. They are great to deal with and buy from.
Ron