Well you would need the following parts:
Resistors -> I suggest getting every value from the E24 Series, Metalfilm resitors, 0.6 Watts
http://en.wikipedia.org/wiki/Preferred_number#E_series:_Capacitors_and_resistorsDiodes: Some common typed used are the 1N 4001-4007 typed (for recitfiers), 1N 4148 is one you often encounter, 1N 5817-5821
Zener-Diodes: The whole range from 2,2 volts up to 33 volts would be nice to have
LED: Just get a few 5mm ones for starters.
Capacitors: Depends, again the whole range from 1 pF up to 2200 µF would be nice. I wouldn't buy bigger ones in bulks, as they are expensive (depending on voltage rating).
Some Common Transistors: BC 547, BC328, BC 338
Some ICs like the NE555, OP-Amps: TL 071-074
Well the list keeps going on ...
I am sort of having the same problem as you, but I am not someone who thinks up circuits, as I am too retarded for that unless it's pretty easy, like a NE555 or MC34063 (watch Daves Vid on this one). I am more of a builder (I replicate circuits from others that I find on the net). So my approach is kinda that if can identify common types in a project I want to build I might stock up on those common types a bit, if my budget allows it.
I don't know if this helps you. As for dealers I don't have any suggestions, as I live in Germany. Maybe
www.dealextreme.com is sort of OK if you don't mind importing stuff.
Anyway ... good luck,
Florian