Where can I buy a radio scanner to pick up police or ambulance radio transmissions?

I would recommend going to  Radio Shack   and geting one there because most of the time they are preprogramed  with the local frequency's or they can program then for you    they have handheld and base scanners    most of the base scanners you can mount in your car or truck as well 

Try.......  http://www.radioshack.com     and at the top you can search  Just type in "Scanner" and it will pull up a list including antennas, headphones and battery packs 



 

I won't ask why you want to be able to do this. Let's just assume you have good reason to do so... Uniden makes scanners which not only can tune into police and emergency radio channels but also NASCAR teams if you are a fan of the sport. You most economical choice would be the Uniden BC-72XLT NASCAR Handheld Scanner with 100 Channels.
List of features:
# Compact Design - The Uniden BC72XLT is designed to be compact for added flexibility and portability.
# Close Call? RF Capture Technology - Instantly tunes to signals from nearby transmitters
# Frequency Coverage - Includes the most interesting "action" bands where you can hear police, ambulance, fire, amateur radio, public utilities, weather, and more. 25-54,108-174,406-512
# 10 Programmable Search Ranges - Helps you find unlisted frequencies in use in your area
# 6 Preprogrammed Service Searches - Frequencies are Preset in Separate Police,
# Fire/Emergency, Aircraft, Ham, Marine (by channel) and Weather Banks to make it easy to locate specific types of calls.
# Backlit Display - Makes It Easier to Read Display in Low Light Conditions
# 2 AA Battery Operation - Provides flexibility in choice of batteries: Alkaline for long life, rechargable for economy (batteries can be charged while in the scanner)
# Priority Scan - Frequently scans the channels you have designated as priority channels
# Delay - Helps prevent missed replies during 2-way conversations
# Sport Scanner
# Public Safety Scanner

You can purchase this scanner from Wal-Mart for $92.72. I've included links to this scanner and couple of more advanced models you may want to look at. The more expensive police scanners are generally going to have longer range than the cheaper models like the BC-72XLT.