Here are some good links to suppliers and other interesting things that I've found helpful when building projects:

McMaster Carr - Industrial supply house that can supply pretty much all hardware needs (think metal, plastic, springs, linear actuators, etc.) Hands down the best place to find this stuff and extremely fast shipping at reasonable rates.

Digikey - Supplier of electrical components. Most projects can be completely sourced from here.

Mouser - Supplier of electical components. Selection and interface is not as good as Digikey (in my opinion), but still pretty decent.

Make Magazine - Great source of inspiration as well as tips and tricks. High quality publication that makes a good reference library.

Shapeways - 3D printing company that will print small orders ($25 minimum). Very user friendly interface and you get your stuff back within two weeks. Models can be designed with Blender (see below).

Blender - Free 3d modeling/animation software with a large online community. Plenty of online forums and support to get you started and teach tricks of the trade. Models can be exported in .stl format and uploaded to Shapeways for printing.

RedEyeOnDemand - Another 3D printing company that can produce models out of ABS plastic. Minimum order is $150, and I have not used them so cannot attest to their services.

Vex Robotics - Supplies robot related items such as gears, tank treads, and motors.

All Electronics - Good source for inexpensive project parts, including motors, sensors, and switches.

Make sure you check out my projects:

USB Serial Communication using the Microchip MCP2200 - Interfacing microcontrollers with a computer using this cheap chip.

Using the Avago ADNS-2610 Sensor - Programming an optical sensor from an optical mouse.

Building Electronic Drums - How to construct electronic drums using piezo sensors

USB Communications using the PIC18F4550 - Programming a microcontroller to communicate with a computer via the USB port