Where to get your components
As I live in Denmark I'm mostly interested in companies in Denmark and the EU, both to keep shipping charges and problems with import duties small.
Denmark

Elektronik-lavpris

Cheap SMD components but you usually have to buy more than 10 parts at a time.
Has Xilinx CPLD's at reasonable prices and you may buy one at a time.
Has MSP430's but they seem a bit pricey.

Farnell

Lots of different parts, but quite high prices.

RS-Components

Lots of different parts, but quite high prices.

Vejle-RC

Selection of standard components at medium/high prices.
Sells non sensitized copper-clad PCB boards selections in 1kg packages at low prices.
EU

Crownhill

Cheap and broad selection of PIC Microcontrollers.
Semi expensive but cool 433MHz radio transceiver modules.

Digikey

Broad selection of components at what seems to be reasonable prices.
Carries a number of different ARM microcontrollers.
Has some rather nasty handling and shipping charges.
Non EU

EarthLCD

Cheap graphical LCD modules.

Futurlec

Basic components but has SMD components available at relative good prices and without forcing you to buy 100 of each.
Has MSP430's at reasonable prices.
Shipping seems to be reasonable.