I was thinking the same thing today. These are the places I found:

Farmer's Market on 14th Avenue East & Third Street
Mount Royal Fine Foods parking lot
St. Michael's Church yard (in Lakeside)

The Farmer's Market was the cheapest -- $30 trees. But last year we bought a tree at Menard's for about $15. Because I'm cheap and space is limited at my house, I opted for a very little spruce I found in the entrance of Mount Royal grocery store for $7.99.

We went to the Farmers Market at 5:30 pm tonight, but they had gone home already, so we went to Mt Royal's parking lot. The trees were OK -- nothing amazing. But we got a cute tree for $35. We asked the guy for string to tie the tree to the car, and he wasn't sure he had any -- though he did produce some. That surprised us that he wasn't sure he had string.

We bought ours Sunday at the Farmer's Market.  It couldn't have been easier and more pleasant.  The trees are inside which makes shopping at least a little warmer and the owners/help are so nice.  Once you choose your tree, they shake it (very cool which I've never seen before), trim it, wrap it in netting and tie it on top of your car.  There is a price range so you can find one that suits your budget.  Best of all, the trees are grown locally and harvested just before Thanksgiving so they're not dry and dropping needles all over the place which has been our experience in past years.  I don't know why we never went there before, but it is the place. We'll be going from now on!

If you want to cut your own, you can get a permit to harvest one in the Superior National Forest.

We ended up going to Home Depot to pick up ours the other night. Thanks to everyone for their kind suggestions! We got a beautiful 7 ft fir for 16 bucks!

There is a guy who has a tree farm on Homestead Rd in Lakewood.  He used to have the stand in the London Rd Burger King lot but I don't think he is there this year.  You can still cut your own at his place though. I think they are $25, but it may have gone up from last year.

One more kudo to the Farmer's Market trees, in addition to being locally gown, they use no pesticides or chemical fertilizer.  We are definitely happy with the tree we got there.  

@zra I liked the tangerine smelling ones, but was outvoted in our house for a traditional smelling one.

Doug and Lois Hoffbauer run the tree sales at the Duluth Farmer's Market, and they also sell from Dan's Feed Bin. Visit their website BalsamWreath.com and learn more about their evergreen products. You can also sign up for their mailing list. Lois sends out regular updates, and during the market season, they arrive weekly with what to expect each Saturday at the market. Buy Local!

@ Doug: I wanted one last year, but conceded my choice in favor of the Missus' selection on the promise that we get the Siberian (tangerine) this year.

Where is the one out on Homestead Road exactly? Also, do you happen to know their hours and if they have saws there to cut the tree down with?