If you're looking to build anything like a Battlebot (drives around on four wheels, weighs between 5 and 600 pounds, needs high-powered electric motors and remote control equipment), this is the place to check. All of the components are new, well-documented, and well-supported if you call them up.
If you're looking to build something more intricate and animatronic, Trossen Robotics is the place to go. It has all sorts of high-accuracy components like servomotors, and all sorts of sensors and robot controllers. If you want to learn from robot kits, buy from here. If you're looking for the highest quality servomotors and kits and have lots of extra money kicking around, check out their Bioloid kits.
All Electronics, specifically the Motors Page
You will not find a better source for inexpensive bargain motors. They're all overstocked, they have completely random mechanical specifications, but they all work. If you see anything from Maxon or Faulhaber, buy it immediately - these are precision-grade motors that just happened to be overstocked.
Cheapest of the cheap hobby parts. I have yet to find a cheaper supplier of servos. Seriously, this place matches sketchy shenzhen/hong kong ebay prices, and usually beats them. I don't know how they do it, and I don't ask.
Another discount hobby store like Hobby Partz. Similarly cheap. Apparently anything from their 'Turnigy' brand of lipos, controllers and brush-ess motors, etc are awesomely cheap.
For all your legged robot kit desires. These kits are cheaper than the Trossen Robotics kits (though, buyer beware, that means they're less capable), and some can be pretty cool looking. I highly recommend the SSC-32 servomotor controller - it's one of the easiest ways I've found to interface with huge numbers of hobby servos.
If you need lots of sensors, or small/hard to find mechanical bits, you could check here. I don't use them as a primary source of hardware, but I check them from time to time and they occasionally surprise me.
If you want the highest performance motors and gearboxes, the buck stops here. Don't look any further. Prepare yourself to look through endless catalogs and configurations, and expect to pay at least $200 per gearmotor.
The runner-up to Maxon, these guys tend to have slightly less expensive, slightly less capable motors. They also tend to have sizes that Maxon doesn't have. Quotes required.
The best electric motor controllers in the business. You can opt for cool options like shock-hardened, dustproof casings... but expect to pay for it. Quotes required.
For all your ethernet-enabled robots and mechatronic needs. These guys offer fairly low-current motor controllers, but the benefit is that their systems are rock solid and control huge numbers of motors at once.