The square foot gardening forum keeps a list of all the places to purchase vermiculite, with a few in Minnesota. I have bought it at Linder's in St. Paul and Anoka Ramsey Farm and Garden. Another place is your local Menards has a product called Sunshine Mica Flakes in the insulation section, which is vermiculite. Some people think it's too fine, but I used it for square foot gardening and was happy with the results. It's made by Sun Gro, the same people who make it for horticulture. If you do a search in the square foot gardening section you'll find lots of posts.

Here is a link that might be useful: Vermiculite Sources in U.S.

BFG Supply in Minneapolis has large bags at a good price.

For what it's worth, I just went to Menards on University Ave in Saint Paul to get vermiculite (based on what I read in the database), but found that the stuff they had in the insulation department was very fine (maybe that's 'medium' grade? Anyhow, it was a sand-like consistency). However, in the garden department they *did* have bags of the coarse stuff - it even says 'for Square Foot Gardening' on the bags! The downside is that it's not the cheapest: $16 for a 1.5 cubic foot bag. I still bought two bags as I was impatient to get started (first garden ever...)

You should be able to go to any lumber/builders supply company and if they don't have it on hand they could order it for you.