ebay is great for one-off purchases, since you can usually find a free shipping offer and small part quantities.
ordering anything from china will extend shipping time by a month so be aware.
Mouser Electronics is a favorite of mine and has been for a long time.
they don't have a minimum order, but your shipping will likely cost more than your parts, so use this place to stock up.
A new source i like since it's close to me is Arrow Electronics. They are a newer player in the game and offer lots of deals. (Robb, if you read this, check this place out. they are close to you i think)
Jameco is a good source for lots of items, especially if you are into computers.
Antique Electronic Supply will have caps, resistors, and other cool parts for old radios and amplifiers.
These are just a few of my favorites off the top of my head, and i'm actually excited to see what others have to say on this.
LC