I have a pretty good selection, I do have Petsmart and Pet-Supplies Plus but several places that are more of a local thing (Pet World, Fish Unlimited, etc). I would think Petsmart would sell frozen bloodworms, most places that sell fish should have a good selection of live and frozen worms. I would suggest looking for a small pet store that have just fish, the usually carry these and more. If not, most pet stores are fairly good with ordering stuff for you if needed.
Mitch