They are all saltwater, they eat what they can find around their anemone host. Without their hosts, their survival rate in the wild plunges. The reverse is true for specific anemones that host clownfish.
As for where they're found? Depends on the species. They are all tropical however. The vast majority of clownfish in the marine aquarium market are all harvested from South East Asia for dirt cheap. Companies set up collection centers and pay the locals peanuts to dive in for them. By the time it reaches NA and Europe the price would have risen at least ten fold.
The rarest clownfish in the world are Mcculochi's clownfish and the Latezonatus Clown (both Australian, banned from collection) and the Oman Clownfish (As the the name suggests, from Oman, the resident Sultan has banned collection).