You might try HF. I bought a 115 pc. twist bit set there, and it has just about every bit you could ever need for pen turning, and just about anything else.
http://www.harborfreight.com/cpi/ctaf/displayitem.taf?Itemnumber=32928
It does cost more than a single bit, but it's a deal for what you get. I haven't had to order any new bit for different pen kits. It's paid itself off that way.
Dave