(I hope the mods will make this a sticky, and that others will contribute to the thread.)
People who build stuff typically need small parts that they can't find at the local big-box home improvement store.
General industrial parts and supplies, adhesives, fasteners, everything:
McMaster-Carr Supply Co (super company) http://www.mcmaster.com
Small gears, shafts, racks and pinions, both English and metric:
Stock Drive Products (excellent vendor) http://www.sdp-si.com
Knobs, fasteners, and many other parts (some not small):
Reid Supply http://www.reidsupply.com/
Optical stuff... A bewildering assortment, and a lousy website:
Edmund Optics http://www.edmundoptics.com
There used to be a company that specialized in small parts, but it's apparently been bought out and I won't recommend it.