Mechanical Components
McMaster Carr: Everything
MSC: Manufacturing Oriented
Free Components from IGUS!!
Berg: Drive Train Parts
SDP-SI: Drive Train Parts
Bosch-Rexroth: Aluminum extrusion, linear motion assemblies
Speedy metals: Cheap english metal
THK slides
MISUMI:Mechanical parts
Small pneumatic tires

Electrical Components
Allied Electronics
Digikey
Jameco
Newark
Dimension Engineering: Motor drivers
Maxon: Everything motors
National Instruments: Data acquisition, instrument control
P3 America: Potentiometers, sensors etc
JR3: Force-Torque sensors
battery
Span CPT : Single Enclosure GPS/INS
Embedded Computer (PC104 "Cheetah" & Single Board Computer "Cobra")

MAV Components
Paparazzi Autopilot

Random Fun Stuff
American Science & Surplus
Freeman Supply
Surplus Center
Craig's List

PCB Prototyping
For small quantities of prototyping:
Express PCB Comes with its own free software.
PCB Express

For large quantities:
PCB Pro

For large/ difficult assembly
Screaming Circuits

Free educational software:
PADS
Eagle

Machining
ProtoLabs: Very fast source for CNC machined parts and injection molded parts.