They're friggin expensive on NHL.com, but that'd be the place if you're looking for an nhl approved one and not one of the independent replicas. They let you pick any player, even if it's not routinely sold. Otherwise, check on E-bay.
Everyone says they are ridiculously overpriced on NHL.com, which is true of authentics, but the replicas are basically the same as all the other sites people through out there such as rivercitysports and whatnot.
icejerseys.com is great. i have ordered a couple of jerseys from them and they do a top notch job. they sew the name and numbers onto the jersey on the replicas unlike most other places (like NHL.com) who use screen printed customization. you can see the differences here.