Arduino-specific items, mostly at moderndevice.com.
PCBs mostly at seeedstudio.com.
Misc stuff at:
mpja.com (good selection of power supplies for cheap)
dipmicro.com
electronicsgoldmine.com
These "surplus and junk" stores are my favorites. I haven't seen many of them posted in the thread so far but would love to know if there are others out there.
Off the shelf components almost exclusively at mouser, but once in a while will use digikey, arrow, newark, or future if prices are significantly better or mouser doesn't have something.
No local stores except a Radio Shack that's about 40 minutes away. And at that point, I might as well order online and save the gas.