| MadSci Network: Physics |
Helium is extremely rare on Earth; it is so light that it quickly escapes from the atmosphere to space. In fact, helium was first detected not on Earth, but in the Sun by using a spectrograph, a device which identifies chemicals by the colors of light they produce.
The helium you can buy for balloons comes from underground. It is mixed in with deposits of natural gas (the stuff a gas stove burns), and is found in only a few places in the world. Gas companies separate the helium from the gas by distillation: when they cool the natural gas - helium mix, the natural gas becomes liquid, but the helium remains a gas. They then remove the helium gas and store it separately.
Here's more information on helium.