Yeah, its a fairly tough question to answer with a single answer... It would depend on what the application(s) are, power source, ac/dc/etc/etc/etc...
When I first got started (about 4 months ago), I picked up a massive variety pack of resistors (10 each of pretty much everything from 10r to 1M) it has served me well so far... (also picked up a few 100 packs of the 'standard ones' 220, 47, 1k, 10k, etc).
The store I frequent (Sayal in Burlington Ontario) doesnt really have much in the way of ceramic caps (aside from a large sampler for $25), but is it safe to assume that tantalum caps would be 'close enough' for decoupling purposes? I couldnt find any 22pf's or .1uf's in ceramic (other than the expensive sampler pack)...
I currently have a mixture of 10uF's, 100uF's, 1uF's (all electro), 22pf 'mono rdl 100v' (whatever that is ;)), and a few .1uF 'mono rdl's', also a few 1uf 'tant rdl.
I also found a few 5vdc relays that can handle upwards of 10A (amprite pc4-1c005d02). I've already built up what I think is a decent supply of transistors, namely: 2n3904's, J175's, MPSA06's, ksmpsa56's, pn2222a's...
VR's I have a decent supply of (5 7805's, 1 lm2940ct-12, 1 lm2941ctp+
IC's would be the standard: 10 or so 595's, a couple cd4021's, 2 each max7221/19's (YAY for free samples!), 4 uln2803's, 2 ds1307 (more free samples), 2 LM3915/14n's
Also an okay quantity of buttons (small and large), pin headers (male/female), ribbon cable and a bunch of 5x2 headers and connectors (to go with the 5x2 to breadboard breakout PCB I made etching = fun!!)
And of course dozens of leds... red, green, rgb...
I just hate getting neck deep in a project only to find that I lack the correct bit... and it's always an insignificant part as well, like a diode or cap... or even worse: you need a 1x7 male header, but only have 1x6 left... Talk about frustration 
Large post, hope you made it to the end 