First, a caveat: this page is mainly going to focused on UK suppliers, so if you're in the US you'd be better off checking out a page like this [ladyada.net].
With that out the way, here are the suppliers I've used in the UK:
- Rapid Electronics: These guys are my favourite for most electronics parts, if they have them on the catalogue. Shipping is cheap and prompt, parts come in excellent little packages and mostly everything is pretty cheap. However, they don't carry a particularly huge range of 'fun' parts.
- Maplin: I used to use them a lot, however they seem to keep removing things from their Electronics section (rather like Radio Shack in the US, from what I hear), and the prices aren't too great. Shipping is prompt, but I prefer Rapid.
- Farnell: While they don't accept PayPal, they do stock just about everything and shipping is great. Prices are good and you can get some nice bulk discounts.
- SparkFun: These guys are American, so shipping costs, but I don't tend to get hit with import duty from their packages. They sell a huge range of fun components, including OLED screens, GSM modules, GPS modules, you name it. Great for specialty items, but they don't have a wide range of other things you'll need.
In general, I've been able to find everything I've wanted from some combination of these suppliers.
If you know of any other good places you think I should add, feel free to leave a comment.