The only place I've found it reasonably priced is Lakeside Baking Supplies, but I think you have to buy 10lb. I usually use almond meal and sugar, since that is all it is made from. Almond meal is easy to find at one of the middle eastern/persian stores, eg balboa international market, sometimes at north park produce, and also henrys (much more expensive)
This was posted on The Fresh Loaf by dwcoleman a few days ago.
There are two methods for almond paste that I know of. The recipe below is the quick and dirty one. The other is much longer and requires cooking sugar, etc.
If you are making paste to keep for a long time, make sure you freeze it.
Recipes - Bread - Almond Paste
454g blanched almonds
454g confectioners' sugar
3 egg whites
1 teaspoon almond extract
Grind almonds in a blender. Thoroughly mix in sugar, beat egg whites slightly, then stir into the almond mixture.
Add almond extract using hands to blend heavy mixture.