In houses and buildings. Most inns sell them. There's a sweetroll/sweetcake baker in Skingrad. If you need a sweetroll to give to Fimmion for 'The Coming Storm' quest, you can find one in Rendil Drarara's house in Bliss. He stands near a clutch of sweetrolls on a shelf, usually with his back to them, so you can steal one without penalty. They can also be found as random loot when killing people in most cities. If you break out of jail in the Imperial City (I suggest putting the Imperial Prison Key, if you have one, in the cell where you'll be if you're arrested), the Imperial Jailor will usually have one or two with them.
A similar popular meme is "I used to be an adventurer like you, then I took an arrow to the knee" more known but this can also be used as a reaction and more.