Mechanical Parts
'Hobby'
All the hardware you could possibly want for remote-control model-sized hobby projects. Tiny spherical bearings, carbon fiber rod, random bits of fabric that are hard to find, propellers, you name it. Anything you need to build something the size and weight of a high powered remote control car. (Also a good source for hobby RC servomotors, for the record.
Like Tower Hobbies, but poorer documentation. Hobby Lobby tends to have cool assemblies (like propeller assemblies mated to motors) that Tower Hobbies doesn't - Tower Hobbies usually has parts that you can click together to make stuff, but they don't sell you finished assemblies.
These guys straddle the line between hobbyist and real parts, but I put them on the hobbyist side because of their selection. Their name is their specialty: small parts you can't find anywhere else. I haven't found another source for surgical-needle size hollow tubes, for instance.
'Real'
You can buy just about every mechanical part you could hope to use on McMaster-Carr, including materials of all shapes and sizes, power transmission parts, machining bits and pieces, and more. If it's involved in the operation of factory automation in any way, or the construction of factory automation, McMaster sells it. You will get it within 2-3 days no matter which shipping option you choose (I've packages arrive at work the day after I click "order" even when shipped ground
Good supplier if you're interested in tooling for machining equipment, prices are very reasonable
Stock Drive Products/Sterling Instruments
This is like McMaster-Carr except more focused on power transmission components. Gears, pulleys, belts, shafts, bearings, etc. - all well-cataloged and relatively cheap. Note that they have a "Metric" catalog and an "English" catalog, and the components are different.
An alternate to Stock Drive Products, if they're out of stock or don't have the one type of component you're looking for. They tend to be a little more expensive and a little harder to navigate.
With warehouses all over (one of which is less than a 2 minute drive from Joy Street), these guys are a McMaster-Carr equivalent and can supply the same kinds of parts and raw materials - except they also have a storefront.