Each state will have a book about tags. I have not hunted some of those states, but I hunt colorado yearly.
http://cpw.state.co.us/thingstodo/Pages/BigGame.aspx
From there, the top two links are left over tags (what you're looking for) and OTC tags.
This late in the season, the left over / limited OTC tags are pretty much gone. Your best bet would be to start planning your hunt for next year. The draw system can be a bit confusing at first, but its really not bad and can be done all online - at least for Colorado.
But, I'd first do research on where the best states to hunt big horn. I've never really looked into it besides vaguely here and there. I do not believe Colorado is one of the better states for it. I think Nevada is the best state for chance of draw in the lower 48.
Some animals require multiple "preference points" - what they are is when you're unsuccessful in a draw, you get a point to apply for the next years draw. Some animals (and zones to hunt in) can take multiple preference points before becoming successful.
So, with that being said - don't give up hope. Just make it a long term plan. Pick your state and also start doing research on what unit you want to hunt. (In Colorado I'm limited to an area with my tag. For my bull elk tag, its 53/63.) Then next April, put in for this draw. You will have to pay the tag cost up front. If you don't get it, you then receive a refund.
Hope it helps,