Even though most hosting companies also provide domain registration (and sometimes offer you free domain registration for 1 year) it is better to buy your domain name from a seperate entity.

Why?
Well, that way you can easily switch to another hosting company in case there should arise any problems and they cannot apply any pressure on you by withholding your domain name from you.
Go with a real Domain Registrar (Prices for a .com domain are only 10$/year anyway!)
Beside the .com domain consider to register .org and .net as well (because these three TLDs are the most important ones)

Name.com and Namecheap.com seem to be the two registrars that are recommended the most in discussions…

3 articles to give you some background knowledge

• Domain name registrar definition
• How to choose a domain name registrar
• The dos and don’ts of domain registration

Discussions about domain registrars:

• Registrar Comparison (Web Hosting Talk)
• Any Good Domain Registrar? (Web Hosting Talk)
• Which one is the safest domain registrar? (Web Hosting Talk)
• Best domain registrar? (Web Hosting Talk)
• Best domain name registrar (Web Hosting Talk)
• Web Hosting Talk Subforum about Domain Name Registrars

• Domain name registrars that don’t suck? (Ask MetaFilter)
• Best domain name registrar? (Ask MetaFilter)
• Where to buy a domain from? (Digital Point)
• What’s your registrar? (Hosting Discussion)
• Recommended Domain Registrars (IndieGamer Forums)
• GoDaddy Faces boycott over SOPA support (ars technica)

• What’s your favorite domain registrar? (reddit)
• Who is the most secure domain registar? (reddit)
• What domain name registar would you recommend? (reddit)
• RegistrarJudge (seems to provide user reviews)
• Domain name registrar definition (Wikipedia)