Just added to the first post.
Where to buy one
You will occasionally see them for sale in all of the usual places where you buy your arcade tat.
Forums, check out the market place here and any other arcade forums that you are signed up to.
Online auctions - ebay and Yahoo jp are your best bets.
Japanese arcade shops - G Front & MAK, etc.
G Fronts control box blog/ price list http://gfront.sblo.jp/category/702869-1.html
MAK Control boxes http://www.mak-jp.com/ctrbox.html
What to be aware of before buying
As with anything in this hobby ask if it works, if it has any known issues and what condition it is in.
In Japan they were originally sold without Looms and TV cables. The console style ones were sold without sticks, also some sticks have detachable (not fixed) leads so check what's included before parting with your cash.
If buying separately, check that the console style control box has a compatible pinout with the stick you are wanting to buy, some use NeoGeo DB15 connectors whilst others use custom pinouts.
Scart leads can be wired to both Euro and Japanese spec. This is particularly useful to remember if you are importing directly from Japan. Scart converters are available but if you don't already own one then it's probably cheaper just to buy a new lead. If you have the soldering skills then you could just re-wire the Japanese spec lead or just make a new one.
These can be large and really heavy, especially the big 2P ones so if buying from overseas just remember to take that into account.
Cables and looms
So what do you do if you are missing cables and looms.
Why not have a go at making own, pinouts for most brands are on the AO wiki as are instruction manuals (albeit mostly in Japanese)
I've bought leads from retro gaming cables on several occasions and have been very happy with both the product and service http://www.retrogamingcables.co.uk/
Our very own FrancoB made a very nice loom for one of my Sigma's, I don't know if Fran still makes these but a friendly MP can't hurt.
2P control boxes come with buttons and sticks so they are good to go out of the box. Some even use an actual candy cab CP. The Vega 9000DX uses a Sega Aero City control panel and the Sega Boardmaster uses any standard Saga control panel ie Astro, Blast, Naomi, NNC.
Buttons and sticks are very easy to change out on most 2P control boxes (using crimps just like in candy cabs). Note some models are soldered rather than crimped.
Console style control boxes, require a separate controller. Sigma make a number of outstanding sticks but they are not always that easy to find outside of Japan. If the control box has DB15 ports then you can use any Neo Geo controller. If you have the skills you could always make your own custom stick.
How much do they cost
I can't really help with that question, best to see what's sold recently and ask in the valuations thread. As always prices go both up and down so only spend what you are comfortable with.
Hope the above is of use for anyone thinking of dipping their toes into this area of the hobby