I bought my first online through aquabid, and any future bettas I will buy from there or this website. It's a lot more money, but it's worth it--because you know you are buying a healthy fish and supporting a responsible breeder.
I would buy from a petstore if I felt they kept their bettas healthy, I do want to support stores who do a good job with their fish. If you find a store with lots of healthy fish, find out when they get in their betta shipments and go when they have lots of them! A good chance you'll find the females you want!