They are relatively cheap. Toys Are us should have them, as should any retailer that sells game boys. (Target, MallWart, etc.)
They look like the thing on the left side of the package in the picture on this link. It plugs in to the bottom of the Game Boy and provides a headphone jack. This is for a Game Boy Advance SP if that's what you have.
http://www.newegg.com/Product/Product.asp?Item=N82E16878104406