When it comes to fasteners we have used a combination of sources:
Vex
McMaster-Carr
Solidworks toolbox
We like Vex 8-32's line a lot... as the heads of these screws have a lower profile and cover well... McMaster-Carr can go beyond the scope offering a wider range (I like their sidewalk bolts for even lower profile bolts). Finally there is the solidworks toolbox... I use this for screws I buy at Lowes (or home depot). I've also used this for the M3's from Andy Mark for the NeveRest motors.
Finally for parts that we can't find in these places we make ourselves via a caliper and using
this table for diameter and threading.
While it would be nice to have a universal library... I like how the vendors (e.g. listed above) provide the files with a part number so that when it comes time to order the parts... it makes it a bit easier to locate where to order them... we have a folder structure called 'common' and this contains a list of folders based on Vendors and from these the parts follow. It's not a perfect system, but so far it is pretty good (and is certainly open for improvement).