I ordered most of the big stuff from here:
Adafruit Industries, Unique & fun DIY electronics and kits
For parts like the transistor (motorola 2N3906) I used google shopper until I found a site that them with cheap shipping. You can get everything on amazon, but paying $5 shipping for every 2 cent item isn't smart. Radioshack has a good chance of having the more common items for $1 as well.