Most butchers will grind it for you at the store. BUT, if there is a Muslim community anywhere about...see if there is a halal butcher. Ground lamb is a staple in a lot of Middle Eastern cooking...so the quality and price is usually better. You can always call up a local mosque and ask if they know of a halal meat market near by.
I will say, however, that the halal markets are best because of all the delicious spices they carry.