I second AutomationDirect.com - they are very good.
http://www.Automation4less.com is good for the mid-tier quality linear bearings and rails.
http://www.VXB.com sells a truly massive number of ball bearings as well as supported and unsupported linear rod and linear bearings/bushings. They are easily the cheapest source I know of for linear bearings.
http://www.servocity.com sells tons of great bits and bobs for building robots or anything servo related. They sell gears that attach to servo hubs as well as servo sprockets and linkages. Very useful to check them out if you are using servos for anything.
http://www.hobbyking.com dirt cheap supplier of anything RC. This is useful because RC vehicles use really excellent silicon wire that's slinky as all get out. Very good stuff. They also sell everything you need to make your own PWM cables of any length - spools of the 3-conductor wire along with connectors and crimp tools. I also think RC connectors (like the XT60) are much superior to Anderson Power Poles for the price.
http://www.trossenrobotics.com - good place for sensors and robot electronics.
http://us.misumi-ec.com/ - Misumi is a great supplier of many things but they have a MASSIVE amount of great 8020-style extrusion that's cut to length. I prefer them to 8020 due to the number and variety of fittings and brackets they have combined with the great price. They are kinda like Automation4Less or AutomationDirect in what they sell otherwise. This search tool is the key to finding their extrusion:
http://www.misumiusa.com/CategoryIma...n-Browser.html
There are tons more, but this is all I have off the top of my head.
-Mike