Suppliers

Places to buy stuff:
Tools:
online tools to find parts cheap
Octopart:  cross-vendor search engine for electronic components
Recommended:
A little more expensive, but usually have good pictures and support so you actually know what your buying.

sparkfun: Good range, helpful images and tutorials
adafruit industries : Great tutorials and a good range of parts and kits
RobotShop: good range of parts, micro controllers, sensors  and actuators parts, including muscle wire.

Cheap:
usually a little harder to find exactly what you want but cheap.
Electronic Goldmine:

Extensive:
mouser: A very large range of components and some sensors and actuators. It’s very easy to get lost looking for parts here so it’s best to know exactly what you need before looking.
jameco: similar to mouser.