Initially I've been using this site https://sdp-si.com/, which research shows is pretty good. However since needinng idler rollers for my project, and seeing that they are $15 a piece there (pretty steep for a little wheel). I've been wondering if there are other sites like https://sdp-si.com/ that are perhaps a little more geared to hobbyists especially in pricing. I get the impression those prices are for people repairing assembly lines or something.
Servocity and smallparts might be of interest.
For parts, wheel, gears etc...mcmaster carr
Lifesavers. Thanks. I'll look into those.
I haven't actually gotten into robots and gears yet, but some of the other links I've looked at include:
- http://www.robotshop.com/store
- http://www.dfrobot.com/
- Radio Control Planes, Drones, Cars, FPV, Quadcopters and more - Hobbyking
I've bought stuff from Robotshop and HobbyKing (and Pololu). I'm in the US, and the stuff from robotshop and pololu came quickly. HobbyKing came slower (from china) -- evidently you can select to order from their US distribution center, but I didn't notice.
I bought some clevis parts to interface with the horn on the hobby servo that came with my Arduino kit from both HobbyKing and a local RC store, but the hole on the horn is too small. So, I presume at some point, I'm going to need to upgrade my servo.
Makerbot.com 
Or makergear.com, ultimaker.com, etc.
Once you make the admittedly large initial purchase, it's like having a small parts store in your house. Just as long as you only need plastic....