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If you are near the coast and have a fishing area, you might try talking with some of the fishermen. I don't know what type of fishing would be local but any fishing done with pots (crabs and lobster mostly) would likely yield octopuses. They are considered a nuisance to fishermen and usually killed for bait. Befriending a few might get you a live one and an offer of more than the cost of bait might get them to be gentle with it until it reaches your tank.
The alternate will be from a pet store that imports from Indonesia. Members of the Abdopus complex (often listed as Bali octopuses) are the main animal trafficked from this region and can often be ordered. You will also see blue rings on the selection list and our take on keeping these is to not.
Try TMC (Uk supplier) or even De Jong (netherlands). A lesser will be too big unless you have a large tank they will grow just as big as a common both can be expensive. Lesser are much easier to get from scottish fishermen than anywhere else. You will also need a chiller if you're planning on keeping one of these. I'd recommend going down the small tropical route, but as with any octopus make sure your tank is suitable before buying. If you'd like to see what size a lesser could get to I would suggest going to birmingham sea life as they should have one (although most likely to be a common) on display.