"Diagonally". It's a joke on the name "Diagon Alley" being a pun of "diagonally".
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Oh, dude, like, Diagon Alley was filmed at Warner Bros. Studios in London for the Harry Potter movies. So, technically, it's not a real place you can visit and buy wizarding supplies, but hey, movie magic, right?
It's from Chapter 5 ("Diagon Alley") of the first Harry Potter book: "'Welcome,' said Hagrid, 'to Diagon Alley.' He grinned at Harry's amazement. They stepped through the archway. Harry looked quickly over his shoulder and saw the archway shrink instantly back into solid wall," (Harry Potter and the Philosopher's Stone,UK Raincoast paperback edition, p56).
HARRY POTTER YOU DUMMY!!!!!
In the books and films, Harry Potter gets his wand from Ollivanders, in Diagon Alley. In the real world, many fans decide to buy a wand online. Alivan's is probably the most popular choice. I got mine from there and it is fantastic :)