Helium exists in great quantities in the 4 big planets, which unlike Earth have strong enough gravity to retain it.

Others have mentioned that some helium exists on the Moon, where it comes from the solar wind. The use of the helium 3 from there has been suggested for nuclear fusion, if the fusion of helium 3 became possible (it is much more difficult than the fusion of tritium with deuterium, which is the main approach attempted for now).

However, for fusion relatively small amounts could still be useful. For other uses the amount of lunar helium might not be enough, even when ignoring how expensive it would be to transport it from there.