Its got a good amount of B vitamins and iron, down side is its got an abnormally low amount of lysine even for a grain which basically means if it were a large source of protein for you you'd need to eat more legumes. 
I get it in the bulk section of my supermarket, but its a small regional chain (WinCo).
Its got a nice sort of nutty flavor so I like to cook it up with a few nuts and eat it as a snack with soy sauce.
Should be easy to find online. I looked on Amazon and found a couple hundred items. One thing to watch out for is that you're buying a bag of millet to use for eating, not spray millet, which is millet on a stick used as a treat for companion birds.
Dave in MPLS / DISCLAIMER: I am not an actual rooster.
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The gravy is interesting- I think it might be the soy sauce? I liked it, but my mom did not.
I think I got my millet from Whole Foods, and it was the Bob's Red Mill brand.