Fry's Electronics
If you have a Fry's electronics around, they are fantastic. They have just about everything you can imagine, except they don't sell the good ring/fast-on connectors. They have some, but they are the cheap ones without the vibration insulation inserts.
Any type of resister, capaciter, relay, etc, light bulb, connector, etc is there. They make Radio Shack look pitiful in comparison.
I like to go there and buy things to try them out, in particular stuff like Molex connectors, etc. Once I find what I like, if I need a bunch of them I order them in bulk from Stein, or if he doesn't carry them B&C.
I'm not associated with them in any way, just a frequent customer.
Here are the store locations:
http://www.frys.com/localframe.html