Where can I get a Lucario?
Well, that depends on what game you're in, of course! However, I'll try to provide data from most of the games here.
The Pokémon Video Game Series
None of the Pokémon video games contain a direct way to get Lucario; You'll have to get a Riolu (which, thankfully, you can always get in each game) and evolve it into Lucario. To evolve a Riolu, make it really happy, and then level it up during the day.
In these games, you can get a Riolu from Riley at Iron Island. He'll give you an egg, which will hatch into a Riolu.
Here, you get get a Riolu by finding it in the Safari Zone. It's rare, so good luck!
Like HeartGold and SoulSilver, you have to find a Riolu. In this case, it's at the Challenger's Cave. Again, it's rare, so it might be easier just to trade one from an older game with the help of a friend. You have those, right?
Pokémon Black/White 2
Although you still have to find Riolu, this time it's very near the beginning of the game (at Flocessy Ranch). This allows you to go through the entire game, owning all of your enemy Pokémon with just a Riolu/Lucario, if you want!
Well, if you haven't played far yet, one of Korrina's Lucario will join you when you near the Tower of Mastery. That's one way...
You can also find Riolu on Route 22, east of Santalune City, and (if you're lucky) the Fighting-type Friend Safari.
Pokémon Omega Ruby/Alpha Sapphire
There's actually no way to find Lucario in this game - You'll have to transfer him over from X/Y with Pokémon Bank.
You can actually find Riolu (and even Lucario, if you're lucky!) at Poni Grove on Poni Island. Keep in mind that you only get access to this area after beating the story, so if you want to have Riolu/Lucario on your team, you'll need to wait until January for Pokémon Bank to work with this game so you can transfer a low-level one from one of the earlier games to this one.
Other Pokémon versions?
What if you ask, "What about Pokémon Ruby, or Silver, or Blue?" Well, sadly, neither Riolu nor Lucario were released back then, since he's a 4th Generation Pokémon. Sadly, you can't get Lucario to OHKO everything in these games.
Super Smash Bros. Brawl
Lucario is also a new character, introduced in Super Smash Bros. Brawl. Some consider that he "replaced" Mewtwo, but I think otherwise. Lucario's awesome with Aura and has some equally awesome options- like wall-clinging and Extremespeed.
You can get him after playing 100 matches, or by playing him in the Subspace Emissary. If you really need him now, a cheap way to get him is to go to Special Brawl, turn on stamina and the "Flower" head, and then set a CPU's HP to 1. This can help you cycle games really quickly.
Super Smash Bros. for 3DS/Wii U
Lucario's a starter character! Just load up the game, and he'll be there!
Another starter character - just boot it up!
Lucario's in stage EX3 - that's 3 in the "Expert" levels section. As for Mega-Lucario, look for an event - they happen from time to time.
There's no in-game way to get a Lucario (At least in the main story), but through a password, you can obtain a Riolu, which you can link up to 50%, where it will evolve into Lucario. You have to get to the tower that attracts Pokémon first, though.