Jameco -- Electronics
Digi-Key -- Another electronics store
Mouser -- Yet another good electronics store
McMaster-Carr -- Iindustrial supply, has *everything*
Small Parts -- Small mechanical parts and supplies
Online Metals -- Plastic and metal stock
Hobby Engineering -- Inexpensive gear motors (GM2 thru GM9) plus lots of other robot parts
ServoCity -- Inexpensive servo motors
e-Bay -- Almost anything, and more
Also, be sure to look at the resource
list form the Twin Cities Robotics Group.