If you are fortunate enough to live by the sea you can take advantage of free saltwater, but it takes some work to make it safe for aquarium use. The first thing is to find clear and clean water. You can usually tell the quality of water by looking at it. If you can go offshore to collect water, when you run into a major current, (here we have the Gulfstream), the water is particularly well suited for aquarium use. If you don't have a boat you can still collect water for near shore locations, just take care to stay away from inlets, river mouths, marshes and the like. Water from the beach will be better than these areas usually because the water will be less affected by run off and freshwater mixing, but if you have to get water from an inland location, go at high tide and be sure to test the salinity at the time of collection.
After you find a suitable source of water, you can collect it with buckets or with a pump. If you use a pump that has a cord make sure that the plug will not be affected by sudden waves from passing boats or a rising tide. However you pull the water out of the ocean, you should run it through a micron sock to remove larger particles and potential pests from the water. Plankton netting can also be used and it is generally sturdier than micron socks.
Water barrels with tops are great to use if you have a trailer or a large van. You can find the standard used in the hobby here. These barrels are also useful for mixing saltwater in your home. If that won't work, five gallon paint buckets are probably the best for use in a car, you don't want to make the buckets too heavy, especially if you have to park your car far from the water source. At this point you are probably thinking, "Maybe I should by a boat so I can get free saltwater for my aquarium?". My advice to you if you go this route is to tell people you decided to get a boat to "take the family out", or to "get a tan". People will look at you strange if you take this hobby any further than you have already.
When you bring the water home you still have a few more steps to perform to make the water safe for use. Even though most parasites will have been sorted out by the micron sock or plankton net, spores, larvae and other life may still persist. You can kill all the life in the water by treating it with chlorine. When doing so add a little at first, under aeration until the water takes on a slight swimming pool smell. Allow the water to sit for a few hours. Test for the presence of chlorine, you will want to reach a reading of 10ppm, and sustain it for a few hours. Chlorine will dissipate, so it is important to wait some time before testing. After you reach a reading of 10ppm, (or higher), allow the water to sit with aeration over night. When you are ready to use the water, treat it with Prime, or similar dechlorinator. Test to make sure readings are at zero. Even when they are, it pays to let the water sit for another 24 hours with aeration, although this time a bag of carbon should be added to the water container you are using. After this, the water should be safe to add to your aquarium. You should test all the parameters in your aquarium that you regularly monitor, (salinity, ph, temperature, calcium, etc..), to make sure the water is comparable. If not, make changes to the water until it meets the standards you want.