The only place I know to buy clay is at a pottery supply shop, and trust me, you wouldn't want to pay those kinds of prices for a soil amendment!
My understanding is that adding compost and organic material is the best way to improve both sandy soils that drain too rapidly and clay soils that drain poorly.
If you really have your heart set on adding clay to your soil, you might try looking for "fill dirt." It's the soil that comes from under the topsoil, and used to be called subsoil. It's what is removed, for example, when an area is excavated for construction. It doesn't contain much, if anything, in the way of nutrients or organic material, and sometimes contains stones. You might be able to find it for free, but it is valued for projects such as road construction, so you might have to pay for it.
Personally, I'd go for the organic material. Like gixxerfic's, my yard is all heavy clay. I'd be happy to send some to you if I could afford it!