Having bought worms just this past January I can tell you who shipped an excellent, heavy quantity of very alive, healthy and unusually well behaved blue worms. Because I ordered red wigglers, and they don't sell blue worms on their site, not sure how they'd feel about me posting this outright though.

Depends what you are looking for.

Before buying worms give a shout out on your local Craigslist or a local gardening group. Often you will find others that are willing to share or barter (think veggies) for worms.

If you don't mind the work and smell, check out local stables. Not sure with this early in the year but further into the manure pile temp. shouldn't be freezing/low due to bacteria activity etc. and worms should be huddling there and scoop a few shuffles. This might be slow going in farming but it's a start. If you put some manure in a bottomless bucket in a corner of your backyard, this will attract local worms. They might be not pure-bred EFs but will still make compost all the same.

That is if you're not in a hurry.