You can usually get it at Greek or Mediterranean restaurants...we have an Italian place down the road that makes it too.

It's not too hard to make yourself. I've made it in the past, and it's not very hard.
What you need is, for the kind I made:
250-300 g of filo dough (this is easiest to just buy
2 dl sweet almonds
2 dl pecan nuts
2 dl pistachios
~200g almond paste
150g butter
(Possibly either orange flower water or rosewater, if you can find it)

1 dl water
1 dl sugar
1 dl honey

Roast the nuts and chop them roughly
Grate the almond paste and mix it with the nuts (and put the rose or orange flower water in it)
Melt the butter
Put 3-5 sheets of filo dough in a pan, brush a layer of butter on each
put 1/3-1/2 of the nut/paste mix on top of the filo dough
put another sheet of filo dough and brush butter on it
put either the rest or another 1/3 of the mix on top of this layer of filo dough
(and do this again if you used 1/3 of the mix)
Put another 3-5 sheets of filo dough on top of it, with butter between each layer

Cut the baklava in 8-10 evenly sized pieces, and put it in a 175 °C oven for about 20 min

While it's in the oven, mix sugar, water & honey and boil it

When the baklava is golden brown, take it out of the oven, and pour the sugar & honey water on top of it. Let it cool

This version gets a bit less sweet than how it's served in the middle east, but I think it works better.