I, no kidding, looked on craigslist for about 4 months straight, at least 3 times a week, looking for cornies and never once found one for cheaper than you can get online.
I got my set up from kegconnection.com. They're very reasonably priced and it eliminates a lot of the guess work and research of what to get and from where. They're also really nice and helpful! Good luck and you'll love the difference kegging makes!