Farnell: Good selection of individual electronic components in the UK, but smaller suppliers may be cheaper for some popular items.
CPC: Sister company to Farnell. Good for tools, general electrical and hobby electronics. Again, some items might be cheaper elsewhere.
RS Less selection than Farnell but has free postage for any size order (maybe depending on account type?)
Bitsbox: Basic (traditional) components for hobbyists. Low delivery charges and good service.
Sites with free samples. Some require a student email address.
Microchip: PIC processors, AVRs, EEPROMs, and a wide variety of other digital electronics
Hobarts: Laser-cutting materials.