It's actually not in Oz, but in North Dakota. An actual yellow brick road was built at the Trollwood Performing Arts School in the 70's, but has since been covered over with concrete. The road went pretty much nowhere but did spell out the word “Oz” when viewed from above.
Just one of the many sightseeing pleasures brought to you by Google Earth.
Here's a Google Earth location marker for those interested in getting out of Kansas.