Check and see when your local police dept. is having an auction on the un-claimed stolen property. You can get some awesome deals sometimes. also check goodwill for those cheap bikes.. good for jumpin off a ramp into the lake to practice 360's and tailwhips in air..
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You can get the new 22" wheel big-air BMXs from FactionBikeCo.com
If you go on Ebay, they have some, some internets carry them, or get a cheap one Walmart
Your Local Bike store. If you live in Arizona then I suggest Average Joes Bicycles.
You can buy really good BMX bikes at danscomp.com
If you are planning to buy a Bmx look online at lots of different websites and find a few bikes that you like the look of and has good specs. Then look at reviews online to see if its worth it (remember the more the pay the better the quality of the bike). After you have decided on you bike find a bike store close to where you live and go and have a feel of the bike. If there isnt a store near you with the bike but you a desperate to buy that exact bike then get it shipped to you (although that can be quite costly). I hope this helped :)
And remember dont buy a cheap bike save up and buy a more expensive bike :)
danscomp.com
Target and Walmart are great for saving money. Although all BMX bicycles are expensive, Target and Walmart will have relatively low prices. You can also see if you have any local shops that sell bicycles.