Fable I - the Lost Chapters:
You buy it from any general store for like 200 gold or you can get one from the quest where you have to dig up all the missing armor peaces, you'll find a chest or something that will give you a spade.
You usually already have a spade by the beginning of the game. You find it in a chest in front of your caravan at the beginning that Theresa provides for you. If you lose it or have sold it by accident, then you can buy another one at any general store in Albion.