2 places where you can find the parachute are, a very, very tall building in downtown Los Santos, on the map its a big rectangle with an oval in it, the other is at the top of Arco Del Oeste in Tierra Robada on the 3rd island, however, once you have a pilots licenece, which you get from doing the tests on the old abandoned runway you buy, when you bail out of any aircraft, you will have a parachute.