resistors, radio shack sell a varity pack for like 13 bucks that contains 500 in very useful values, for led's your looking at hundreds of ohms like 150ohm, 220 ohm
maybe transistors, so you can switch on or off heaver loads (like a bunch of led's running full brightness) without going tru the arduino (which would kill it) NpN type (2222 or 3904 ect) and of course their 1kohm resistors
jumper wire(s) buy them anywhere but sparkfun, cause everyone will give you 75 for 50 cents more than sparkfuns measly 10 (which fall apart when you plug them in)
dunno, its hard to list off stuff until you notice you need it and dont have it lol