I haven't bought too many sensors, but general places I look for electronics gear besides the local shops include:
US based distributors (faster delivery if you live in the USA, possibly higher cost):
- http://www.robotshop.com/store
- http://www.pololu.com/
- http://www.adafruit.com/
- http://www.jameco.com/webapp/wcs/stores/servlet/StoreCatalogDisplay?storeId=10001&catalogId=10001&langId=-1
- Electronic components - dipmicro electronics (I haven't bought anything from them at the moment)
- http://www.sparkfun.com/ (I haven't ordered from them directly, I don't know if they ship from a US location)
Other distributors (I've bought from arduino-direct.com, and I've bought dfrobot.com boards from other distributors):