Where to get Vim you ask?
Of course the official source is www.vim.org.
Linux
For Linux, use the one packaged by your distribution. If that version is considered too out of date for you, consider building your own from source.
Generally it is as easy as ./configure --with-features=huge && make && sudo make install
OS-X
For OS-X, the recommendation is generally to use macvim. More advanced users will likely install it as part of brew or macports.
Windows
For Windows, the recommendation is generally to use tuxproject. This is automatically built and kept up to date.