Alumina is another word for aluminum oxide (Al2O3).  In naturally occurring crystalline form it is called by its mineral name of corundrum.  It is found in schist, gneiss, and marble metamorphic rocks.  In very pure form it forms the gems rubies and sapphires (the colors are due to trace metal impurities).  Because corundrum is a very hard mineral, it is often found in stream beds and beach sands due to the surrounding rock weathering down to small pieces that are carried away by water.  This is a good place to start looking for it.  Impure forms of corundrum are ultilized for industrial abrasives (again due to its hardness).