Jameco -- Electronics
Digi-Key -- Another electronics store
Mouser -- Yet another good electronics store
McMaster-Carr -- Iindustrial supply, has *everything*
Online Metals -- Plastic and metal stock
Hobby Engineering -- Inexpensive gear motors (GM2 thru GM9) plus lots of other robot parts
ServoCity -- Inexpensive servo motors plus nice robotics hardware at ServoCity-Actobotics
RobotShop -- Nice parts for sub-assebmlies like grippers.
AdaFruit -- Lady Ada's awesome store. Has lots of great sensors, kits, electronics, and howto guides.
SparkFun -- Has lots of great sensors, kits, electronics, and howto guides.
Phidgets -- Primarily for USB-enabled sensors, but also has some nice non-usb sensors and intro guides.
e-Bay -- Almost anything, and more
Also, be sure to look at the resource
list form the Twin Cities Robotics Group.