There was a similar inquiry on the Boston Aquarium Society forum recently. Here are some places, courtesy of the BAS forum.
Igo's Welding supply in Watertown Igo's Welding Supply - Home Page
It's not far from the Arsenal mall.
I got my 5lb co2 tank from Wesco on Vassar Street in Cambridge. It's near MIT and the BU bridge.
I went over to Igo's Welding yesterday to see about getting a CO2 tank. He told me that because they have so little demand for them he only sells 5lb tanks, and they are $110! He recommended getting the tank elsewhere (nice to find an honest merchant). I think I may order the tank online from Co2 Tanks Canisters Regulators and Paintball Tanks
where a 5lb canister is $60. Even with shipping, it's a better deal. Igo's will do filling, he said around $10 for a 5lb tank.
For those of us out in central Mass, I've found a supply for 5 lb tanks (they have larger, as well). Price is comparable to Wesco.
Here's the address:
NFG Home Brew Supplies
72 Summer St, Leominster, MA 01453
Don't forget Linde gas in Billerica. 80 bucks for a 5 pounder filled.
To transport, I just secure it so it doesn't roll around or fall.
Hope this helps!