For a long time, Sparkfun and DealExtreme, and to a lesser extent Digikey and Adafruit have been my favourite shops for electronic components. Now I might have just found a new one: Tayda Electronics.
Their prices are in a completely different range than the aforementioned shops. Basic components like resistors and capacitors are one or two cents, or sometimes even less. Typically, you'd have to buy in bulk of 100 or even 1000 to get those prices, but at Tayda, you can order a single one, if you like.
Other highlights include 10mm LEDs like the ones I mentioned earlier, for 10 cents each (vs. $1 or more that I paid). In fact, the specs promise 14000-16000 mcd vs. the 5000 mcs I tried. I've ordered a few, and will post details later. Finally, the reason I came across their site: The Maxim Max7219 LED driver for $1.25 (vs. $10 or more at Sparkfun and others). That was really great news, since the magic seems to have gone out of chip I had, but disappointingly without magic smoke.
Their minimum ordering is $5, which might actually be difficult to reach with those prices. I've just put an order, and they promise same they shipping and about two weeks delivery with standard mail (at only ~$2 shipping cost). Let's see how it goes.