Home Depot also has them I don't like them too much but you may like them. And I have not heard of anyone with their own worm farm but I wouldn't be too surprised if lots of people have them. I have lots of worms in my yard that I find under bricks and stuff so no need for me to go through the trouble to do it.
Here's a little site to get you started. I've been doing it for years, until last winter when I forgot the bin outside and they all froze. I'm going to start another one this Fall. I use them to feed my boxies, and for Pio on protein day when he's inside for the Winter. The castings do wonders for your plants too.