You haven't filled in you location so it's impossible for us to say as they're different store in different countries.
There's Radio Shack and Maplin but they're expensive and have en extremely limited range of components, Farnell and RS Components if you want more choice, then there's digikey which are on-line only and let's not forget eBay.
Another thing I'd recommend is going down to your local tip and scavenging old TVs, computers and Radios for the components.