Several links that every electronics/robotics hobbyist ought to know:
Sparkfun - Sells a variety of components, sensors, and gadgets. In many respects Sparkfun has made DIY robotics and electronics possible as they sell heaps of difficult to get parts at reasonable prices.
Digikey - Most of my electronic components are sourced through Digikey. That's because they have such a range at very competitive prices, and offer free shipping if your order exceeds a certain value.
eBay - I'm always finding and purchasing bargains through this site. I'll admit I've had one bad deal (seller just took my money and 'ran'), but that's compared to 60+ successful purchases. Sellers often bend over backwards to make sure you are happy (so you give them a 100% rating). I've had a few packages lost in the mail, but given that you've waited a reasonable time, just tell the seller and they may send another one on its way!
Ponoko - This group offers a pretty useful service to those into making robotics. They laser cut sheets of plastic to your design!
Slashdot - A great site which is full of tech and other 'stuff that matters'. I check it frequently!
robotang.co.nz - Okay, shameless self-promotion of my website. But as I'm always inventing things, some of these incarnations will end with at least a writeup on here. Also have a look at my github page!