If you just started playing, I'd start by shopping at hobbyist sites like Sparkfun and Adafruit as they will guide you on which components to buy and provide some context and examples. Once you're an expert and know what to look for you'll find a much wider selection at electronics distributors like Digi-Key and Mouser.
Wheels and such can be found at robotics hobbyist sites (Robot Shop, Trossen, Pololu), or SmallParts.com/McMaster/Grainger for more industrial-type stuff.
Really, the list of "where to buy stuff" is huge. Here's a random place to give you a sense for what's out there:
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The Rugged Circuits Yellowjacket: 802.11 WiFi module with ATmega328P microcontroller, only 1.6" x 1.2", bootloader