I picked him up a couple of years ago at IKEA, which is appropriate, since the Yule Goat (or Julbok) is a distinctly Nordic tradition. Being Swiss means I'm not actually Nordic, but when it comes to being able to stick a big straw goat on my table and call it Christmas, I make an exception.
The Julbok originated in pagan times, presumably tied to the god Thor, whose chariot was pulled by two strong goats. There are lots of "Yule bucking" traditions that involve blackface, pretending to slaughter one of your neighbors, and cake. I'm not real clear on how they all fit together, but you can look at this Wikipedia entry for more info.
(Funny, there's also a tradition of hiding a small Yule goat in your neighbor's house and seeing how long he takes to find it. I may start that tradition at work...)
In many towns in Sweden, they erect a giant Yule goat in the town square, and see if it can survive until Christmas before vandals burn it down. (Pretty sure that wasn't the original intention of the tradition, but that's how it's turned out.) The vandals get REALLY creative, and so do the towns in trying to prevent the torching.
The most famous of these is the city of Gavle, which has had a goat for years, and has about a 50% record of reaching Christmas versus early firey death. One of Gavle's fire-prevention methods has turned into one of my absolute favorite personal Christmas traditions. I bring you...
Yes, the Gavle Goat has its very own webcam! (Plus, the word "bockenkamera" is right up there with "wunderbar" as the coolest non-English words EVAR.)
It's one of those 1998-style ones, too, where you have to refresh every few seconds. ("Look, the blue car moved!") I don't know what it is about this thing, but I am mesmerized by it every year. I keep it on my screen at work and keep refreshing the page - because, of course, the more we watch the better the Goat's chances of making it to Christmas sans arson.
We're watching you, goat burners...