What you're thinking of is the CO2 used for propulsion in gas driven guns like BB's, pellets, and paint-balls. This gas often has synthetic oil mixed in to keep the moving parts of the guns lubricated.
TL;DR: Welding shop good, paint-ball shop bad.
In the Bay Area, Carbonic Service in Santa Clara are GREAT -- if you walk in and tell them you want to make soda, they will hook you up with a 5 lb tank and a fill, and a pre-made-up combo with tubing, regulator and ball-lock valve, along with the screw-top adaptor for the 2L bottle.
I bought a CO2 delivery service business in college that was a sideline of my friends dad's business. He was buying tankercars of CO2 for welding to get a lower price and then selling his "cheap" CO2 to bars.
I get a discount for trading in my old cartridge? A single cartridge lasts me 3 months. We make 2 bottles per day.
The standard price is $15, I always buy them at Bed Bath and Beyond with a 20% off coupon ... which makes them $10. Ten bucks for 3 months isn't bad.
At a welding supply shop, they'll sell you a 5lb tank of CO2 (around $60 initially, then $15-20 for each refill thereafter). If you then go to a homebrew supply store, you can buy a CO2 regulator (~$70, depending on quality), the appropriate tubing and a ball-lock adapter (< $10), and a carbonator cap ($15, something like http://morebeer.com/view_product/18250/). That setup'll let you take any plastic soda bottle (1-liter, 2-liter, whatever) and carbonate it directly. I have a CO2 tank for kegging my home-brewed beer and soda, and I frequently use my carbonator cap to make small test batches of soda before mixing up a full five gallon batch in a keg.
A 5lb tank of CO2 will last for 15-20 5-gallon kegs of beer. There's no easy apples-to-apples comparison (soda is more highly carbonated than beer, and I'm not sure of the effect on efficiency from carbonating such small batches), but any way you work it paying $15-20 for a refill is a much better deal than paying for SodaStream cartridges.