Buy from a specialist cheese store or Italian deli. There is nothing nicer than watching the parmesan being cut from a whole cheese.
Parmesan is available at supermarkets in vacuum-packed plastic in refrigerator sections, or worse still, finely grated in little containers that allow for easy sprinkling. Definitely not recommended.
Store in the fridge or if it's winter, a cool pantry, wrapped in calico or waxed paper. Well wrapped it will keep for several weeks.
Tips & Tricks:
If you have an old block of parmesan rind that has dried out - drop it into the pot when making minestrone soup - it will impart the most delicious flavour.
To reduce fat content when making lasagne - use grated parmesan over a thin layer of low fat ricotta between the pasta and sauce. The parmesan will give it a lovely cheesy flavour and you won't need to use as much as regular cheese.
Thin shavings of parmesan over rocket make an exceptional salad. Sprinkle with a little olive oil and balsamic - nothing else is needed.