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!
"A single fact can spoil a good argument." - Anonymous