Where do you download DEM data usually, is there one single place to get it or is there various sites and methods (like Google maps and whatnot)?

For SRTM the Google Earth plugin is handy. You can get aster from the USGS portal.

Aster can be dodgy data though. Both are directly downloadable for your chosen area from within Global Mapper.

The free Q GIS can do the same thing.

Quantum GIS - its free.

Global Mapper and Q GIS you can just set the view to the area you want then use the download option.

The Google earth plugin adds an overlay to the display that shows the grid of SRTM tiles, along with a marker in the middle that you can click to download that tile.

http://www.qgis.org/

If you have Google earth installed, just double click the .kmz file and the SRTM overlay will install.