Though, to be precise, helium is not as common on Earth as it is in the universe at large, because our gravity isn't strong enough to keep it around in our atmosphere for very long.

But it is made in big quantities by radioactive decay of elements inside the Earth. Whereupon most of it diffuses outward and escapes into space -- helium is a tiny, inert molecule which diffuses relatively easily even through many "solid" rocks. The only place it tends to pile up on the earth is inside relatively impermeable underground rock formations: The same ones that trap natural gas, and that often trap oil as well. That's the reason why helium and natural gas tend to be found together.

All of which is easily read at:

http://en.wikipedia.org/wiki/Helium