This colorful species of the jay family is fairly common from the East coast of the US to the eastern edge of the Rockies. In winter here I occasionally find their feathers scattered around where a Sharp-Shinned Hawk has caught one for dinner.
Apparently some migrate and some don't. It is termed "partial migration." I have seen large flocks migrating south along the Hudson River. However, there are always plenty of them around in a New England winter especially if you put bird food out.
Factoid: they mate for life, like Canada Geese. How do they know who is who, because they all look the same?