I have in the past! They make decent pets, though disposition varies greatly, so be warned. I had one who stung me and pinched me many times and was rabidly agressive. I've had others who are very mellow and did not mind handling at all. They were all emperor scorpions, mind you, but if you're just starting out, they're what you should get anyways - big, non-poisonous, reasonably placid, inexpensive to buy and keep, and a little more forgiving of "goof-ups" than some of the more exotic (and toxic) ones.
I wouldn't suggest buying one from a pet store, as most are allready very old and haven't been handled much. I would suggest a breeder; if you have Myspace, there is a group called "For Scorpion's Sake" that can suggest some AWESOME breeders who will ship them to you. If you don't, just say so, and I'll hunt down some links for you.
I suggest doing some reading - both books and on the net, and in an invert. keeping magazine if you can find one - before even considering buying, however. Allthough they are just arachnids, they do have some complex care needs so far as temp, humidity, live food, etc. goes, so you'll want to be sure you're ready on that. You might want to read on breeding your own crickets, mealworms, and roaches too if you decide you want several scorpions or more than one species.