There are several good brands of blades around but I prefer Olson. I'm putting together an order tomorrow for Sloan's Woodshop. Take a look at his web site.
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I've bought wood and acrylic from him in the past. His prices on Olson blades seems competitive. Buy them by the gross.
Check the ads in Creative Woodworks & Crafts and Scroll Saw Woodworking & Crafts. Both magazines cater to scrollers and the ads are informative.
Check Rick Hutcheson's web site for good scroll saw blade information. It is important to learn the types of blades available and how to match the different types to your project.
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Check Judy Gale Roberts' web site
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They carry On Line blades. I've not tried them but everything else they do is first class.
John Flatley Jacksonville, Florida