At a bank. See http://treasurydirect.gov/indiv/r...redeem.htm for details. It's easiest if you already have an account at the bank (that website seems to say that if you haven't had an account at the bank for 6 months, the max you can redeem at once is $1,000).
(Probably any major bank can do it. Wells Fargo is one that I know can. I've also redeemed them at a small local bank.)
And it's best to redeem them at the beginning of a month, since you'll still get the whole month's interest.
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