Here in the Uk, they're called ground almonds, and are found in the baking aisle with the chopped nuts etc. As everyone else says, you can make your own. If your almonds have the skins on, and you want them off, pour boiling water over them, and leave for 5 mins. Drain, and then you can easily push them out of their skins (I use a tea towel and they just pop out - it's quite satisfying!)
Almond meal, or ground almonds, might be in the baking/nut aisle, bulk foods section, or sometimes in the specialty foods area. You can also just grind your own in your food processor. I don't mind the skins, so I often leave that, but you can also blanch the nuts to remove skins (then roast them dry in a 350 oven to dry them out. Don't whiz till they're very dry).
Fill your processor bowl about halfway and pulse, rather than run straight. You're aiming for a course texture, so don't expect it to look like flour. It'll look more like very fine breadcrumbs. You don't want them to clump, so try to stop before the first sign of that. If you let them whiz in the processor too long, you'll end up with almond butter -- though that too is tasty so not such a terrible mistake!
Whole Foods carries Bob's Red Mill almond meal or flour, and Trader Joe's has their own brand of it as well. Trader Joe's also makes one with "whole" almonds where the almonds are ground with their skins still on (which changes nothing other than the color quality of the resulting product and perhaps the nutritional content marginally).
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Fill your processor bowl about halfway and pulse, rather than run straight. You're aiming for a course texture, so don't expect it to look like flour. It'll look more like very fine breadcrumbs. You don't want them to clump, so try to stop before the first sign of that. If you let them whiz in the processor too long, you'll end up with almond butter -- though that too is tasty so not such a terrible mistake!