Mechanical Components and Materials
  just about everything (warehouse in New Jersey with very fast delivery)
fasteners, tools, and more (warehouse in New York)
DIY hardware source
something like a clearinghouse for other vendors
Fastener Warehouse!

Raw Stock
  not exactly cheap, but fast - they have plastics too.
where we get our acrylic
where we get our MDF

Gears and Transmission Elements
  serious transmission components
  lots of bearings at low cost
  tiny stuff, sometimes a bit slow to ship

PCB fabrication and assembly
  Chinese outsource - high quality at low cost
  awesome student discount if you can handle a 10-day lead time
  very fast turnaround for a decent price

Electronics and Robotics
  Massive selection. Warehouse in Minnesota
  motors, wheels, sensors, etc.
  similar to Pololu but Canadian, so shipping usually takes an extra day or two
  lots of custom circuits (wireless boards, IMUs, etc.)

  local anodizer in North Philadelphia, wide selection of colors