I'm looking for a "general electronic" start kit of popular basic part: resistor, capacitor, transistor, etc..
I don't want to pay 500$ for the kit but I want a kit with a lot of different part in small quantity
I'm in Canada
Search resistor pack, cap pack and the like in ebay.
This one as transistors and resistors, and its even from canada:
http://cgi.ebay.com/Ultimate-Assorted-Resistors-and-Transistors-Kit-1-/320562723193?pt=LH_DefaultDomain_2&hash=item4aa306f979
For that price I would get one.
Although Radio Shack is not usually a good source for parts bargains, their resistor assortments are a good mix at a good price.
Given your location (you may be the only person on the forum more rural than I am :)), you're going to have to make friends with your local postmaster. When I was living in Toronto back in the 1970s, I had to mail-order almost everything from the States. I gather things have gotten better since then, but you may still want to shop American surplus stores if you can get easy customs clearance.
B.G. Micro was one of my favorite sources back then, and still is. And senso's suggestion of checking ebay is a good one, too.
Your best bet is probably to make up a shopping list based on what you read here, and go hunting for the parts online, rather than trying to find a ready-made starter kit.
I would look at Starter Component Set 132pc w/ Proto PCB - dipmicro electronics (Cananda) Ebay and webshop
I bought my starter kid from http://www.bitsbox.co.uk/compkits.html#starter_kit (UK) ebay and webshop
Have used both of them regulary, sometimes trough ebay sometimes trough the webshop (prices + shipping can be cheaper either way)
Dipmicro.com is pretty fast and packs well .I've been saving their bags in case I mail stuff to others. I've purchased quite a few times from them lately. I'm in US. Last time I purchased a bunch of stuff from them, I ordered, 4 of each thing since they have the differential pricing and 4 is a pretty good quantity for low price. If you look around, their price is pretty competitive. Shipping is like 3USD for a bunch of stuff ;D
BTW, I bought my starter kit from jameco. Don't ever want to order from them again, expensive.
If I build the kit myself what SHOULD ABSOLUTELY be included in this kit.
What is the most popular value for resistor, capacitor, relay, transistor, diode, etc..
Since I was also looking for a new solder iron I see this model and I want to know your opinion:
http://www.vellemanusa.com/us/enu/product/view/?id=522812# Sell for +/- 150$
Resistors:
10K for general purpose pull-up and pull-down. 100 counts
220 for most LEDs but you're better off calculating for the value you need from the spec of the LED's 100 counts
Other values: I rarely used them but you could get some 20K, etc or take other's suggestions.
Caps:
10uF 25V for filtering powers 10 counts
22pF 10V or 25V for arduino standalones 10 counts
Again others may suggest more values.
Transistors:
2N2222 general purpose transistors 50 counts
Diodes:
1N4004 or similar 20 counts
Buy some LEDs of different color and white
Here's where you calculate for required resistors.
Relays:
http://www.dipmicro.com/store/index.php?act=viewCat&catId=527
The cheapist one will work. Canada uses 110V, right?
That iron is too fancy, this will do (I have one):
I agree with liudr that the iron you mentioned is a bit fancy. You will probably also want a separate handheld multimeter.
I use a couple of old Weller irons that I got used. They're TC200 series, long since discontinued. But there are similar (but more-cheaply made) irons available today in the US$30 range that would serve you much better than that RS cheapie. You'll want something with at least the primitive temperature control in my Wellers: they have a simple mechanical thermostat built into the tips that keep them roughly in the right range. The really cheap irons can vary all over the map.
If you want to work with surface-mount parts, you'll need a better iron: I only do through-hole parts, so the Wellers are fine for me.
If you plan to play with LEDs, you'll want a good assortment of resistors in the range of about 100-390 Ohms. You'll probably find that you quickly use up the ones you get in the wide-range assortment packs, since they only give you 5 or 10 of each value.
You'll also need a .1uF ceramic or mono capacitor for the power supply every chip you use. They're really cheap at surplus stores, so stock up when you find a deal.
My kit is almost complete (for now!) I need to order my diodes and transistors.
Which DIODES and TRANSISTOR should I have.
Thanks again 
Keven