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I've recently been toying with the idea of putting together a squad of vanguard vets loaded out with power lances, but I'm not sure where to get said lances from. There are some cool spiked poles in the dark eldar raider kits, but they're not terribly "power" or "imperial" in nature. The grey knight halberds are awesome, but that requires some wheeling and dealing or a lot of pricey purchases. Any suggestions for alternatives? I'm contemplating just taking some grey knight interceptors with force halberds and slapping some jump packs on them.

Most Grey Knight players will have spares. My FLGS had three sprues of most of the power weapons. I picked one up for my 30k Ultramarines to have a crap ton of Swords. Ask around and I'm sure you'll find some one that can give you a handful for $5 or so.

If not, Fantasy has some good Power Weapon types. Look at their spearmen type Imperials.

There are ussually bitz dealers on eBay in the US who sell the GK halberds at reasonable prices.

http://www.ebay.co.uk/itm/40K-Grey-Knights-Terminator-Nemesis-Force-Halberds-Bits-5-Bitz-/201358155479?hash=item2ee1e19ed7:g:fZUAAOSw~OdVZOAU

I'm not in the US, but I'm sure there will be people in the Swap Shop who would be willing to part with some.