Futurlec.com is a great place, everything they carry is much much cheaper than the likes of digikey and mouser. They have screwed up a few of my orders, but i forgive them for their low prices.
sureelectronics.net, I just found them a few days ago, i am still mining through the site to find more gold. For display related stuff they are dirty cheap, LEDs and LCDs. They carry 2x16 blue backlight LCDs with a hitachi driver for about $5 in single quantity, that stuff goes for $15 on digikey and $10 on futurlec, that is just one example. There are so many great deals on that site, I wonder if they steal the stuff from the back of a truck. The site is a bit of a mess, so you will need to take your time to go through everything, but it is worth it. I bought 10x 40 pin zif sockets from them for $5 in total, that is 50 cents a piece, you can easily find them selling for $10 each or more on other sites.
dealextreme, this place is not for components, but for electronic gadgets and some tools. Specifically for electronic development related, I bought alot of their tweezers, solder paste, solder flux and solder. They offer free shipping on everything they sell, even on 99 cent stuff. You can go ape nuts on the site and buy a tonne of stuff, when you go checkout you will have a smile because your shopping spree costs you less than a good dinner. I would not buy anything from them that is more than mildly complex, quality of their products is reflective of the price they sell them at. For simple stuff they are great.