Any major chain store sell kanthal wire or is online only option?
Probably just online, but you can always check out your local B&M shop if you have one nearby
If you just want to tinker, you can try nichrome foam cutting wire.
Most people like the Kanthal brand but I have found nichrome wire to be more then sufficient for our needs.
You can find nichrome wire at hobby shops that sell supplies for model trains.
The brand I have seen is this one.
I asked for kanthal at walmart and the woman handed me a Bollywood dvd.
I learned everything I needed to know in life walking the streets of Compton.