I bought a lot of items from a variety of suppliers. When you are looking for parts or tools and shopping around keep in mind that shipping costs can often make it smarter to buy a slightly more costly part from a supplier that you already have other things to order instead of 2 orders with separate shipping costs. If you don't know where to find something (cheaply) try searching with Google's product search. Suppliers that I used for the CNC Router project are marked with a *.

*CNCRouterParts - bearing blocks, nema plates, linear carriage and the plans for a 2x3 router.
CNCRouterParts -- Ahren's product announcement thread on CNCzone.
*Fine Line Automation - pre-drilled steel guides, parts kits, electronics.
2'x3' Free Router Plans -  Nate's  product announcement thread on CNCzone
PROBOTIX - FireBall V90 CNC Router(distributor) & motors, drivers, parts

T-Slot Aluminum Extrusions and Mating Parts
80/20 Aluminum Extrusions - also check their sales on eBay at the 80/20 Garage.
T-Slot parts (part of 80/20) - mating parts and accessories
MiSUMi makes aluminum extrusions similar to 80/20 at lower price - I have no experience with them.

Metal Suppliers
Arlo Metals Plus (formerly ASAP Source)
Fastenal Company
Hobby Metal Kits
Metal Supermarkets - metals and plastics supplier
*Speedy Metals Online

Metalworking Tools and Supplies
CDCO Machinery Corp
*CPO Outlets - Refurbished tool supplier - Skill, Bosch, others
ENCO - end mill supplier (r2bc)
Grizzly Industrial - Tools
*Harbor Freight - Tools
Little Machine Shop - tools & parts for benchtop machinist
*McMaster-Carr - over 400k products
MSC Industrial Direct -
Shars Tool Co -
Victor Machinery Exchange, Inc

Miscellaneous Items
*Galaxy Products - bosch colt router collets (cheap)
*Fastener Warehouse - hardware supplier
PreciseBits - Cutting & Engraving bits  - good reference section on choosing bits, speeds & feeds
Small Parts, Inc. - hardware store for researchers & developers
*VXB Ball Bearings - Ball and Linear bearings and rod.