I have a LEGO set that has 9 bags total I only have 4 of those. Does anyone know where I can buy the bags? This set is the Helms Deep from Lord of the Rings.
I don't know of anywhere that sells bags of parts for sets, but you could try BrickLink - you might be able to pick up a second incomplete set for a bargain - or more realistically, you can "Part Out" every component piece to a wishlist, remove those that you do have, and then look to buy the missing parts. It sounds daunting, but you can sort according to which sellers have the most parts from your wishlist, and hopefully get the bulk of them in one hit.
Your mileage may vary on prices. Like anything, rarity and availability dictates asking prices. Common blocks should only cost a few cents each, but anything unique to this set is likely to be hard to find and/or expensive.
Be aware that such larger sets often also contains pieces that are not in bags or are in un-numbered bags.
I'm not aware of anywhere where such bags are sold in any structured way. In the RLUG (Registered LEGO User Group) that I'm a member of (Byggepladen in Denmark), some members occasional get (or get the chance to buy) a box that contains a number of random bags from various sets, but it's rare that people bother identifying which set a bag is from, they are just opened are the parts sorted and put into the collection. If you are a member of an RLUG you might ask there, but it will probably require a lot of luck, but I don't see other possibilities.