Despite their name, Rocky Mountain oysters can't be procured from the deep or purchased from a seafaring vessel. They may be from the Rocky Mountains, but they certainly aren't oysters!
Rocky Mountain oysters are a particular kind of North American offal: prime-cut bull or buffalo testicle. They're widely celebrated and often served breaded and deep-fried.
If you live in the Wild West, you might be able to buy fresh Rocky Mountain oysters from your local butcher. Call ahead and ask if they're in stock. If not, you might be able to have them special-ordered. True to their name, Rocky Mountain oysters are most easily found in ranching communities near the Rocky Mountains. U.S. states in this area include Montana--famous for their annual Testicle Festival celebrating the titular meat--and Wyoming.
Even if your butcher doesn't have any fresh stock, they might be able to sell you packs of frozen, vacuum-packed Rocky Mountain oysters. This depends on the butcher and the region. Due to vacuum seals' longevity, Rocky Mountain oysters can be stored in this manner for a while.
You can still buy Rocky Mountain oysters if you're not a cowpoke. Many online retailers offer a selection of Rocky Mountain oysters to order. Exotic Meats USA, a Nevada-based company, offers one-pound packs of buffalo-style Rocky Mountain oysters. Fairbury Steaks can ship you up to ten pounds of the stuff straight from Nebraska!
These two companies aren't the only places to buy Rocky Mountain oysters online: there are staggering numbers of "exotic meat" retailers to be found with a simple Google search. To save on shipping, try buying from a local source first. Google "Rocky Mountain oysters" and your state or province. With luck, you'll have a hit. Bull castration is a fairly common practice; it's possible that a nearby farm will be trying to market the byproduct.
If there are no local shops, then you'll have to order from elsewhere. Luckily, Rocky Mountain oysters are fairly inexpensive. The priciest issue you'll deal with is shipping: the Rocky Mountain oysters have to be stored on ice and shipped at a fast rate in order to arrive at your home unspoiled.
This advice assumes that you want to prepare your own Rocky Mountain oysters. But what if you find cooking to be a load of bollocks? As Rocky Mountain oysters have entered the public awareness, they've come to be known as a novelty food. (They're sometimes called "Cowboy Caviar.") Due to this, Western-themed restaurants often serve Rocky Mountain oysters as an appetizer. You may be lucky enough to find such a restaurant nearby.
Rocky Mountain oysters are by no means fine dining. They're messy; they're raw. They epitomize machismo. But that's why they're so beloved: they're a symbol of the North American wild.