A lot of people order from
http://www.smallbearelec.com/ because he specializes in stocking parts for DIY pedal builders. He has most anything you'll ever need to build most pedals, but you might find that large parts suppliers (Mouser, Digitech, etc) are cheaper due to the size of their companies, and they probably ship faster than he does.
His customer service is very nice though, and you don't have to sort through hundreds of thousands of resistors just to find the one that you like. (It took a long time for me to learn to appreciate Mouser.)
P.S. SmallBear has a very nice assortment of knobs. Mmmmmmmm.... knobs...
P.P.S.
http://www.pedalpartsplus.com/ also specializes in, well, pedal parts. They have very pretty pre-finished enclosures and their prices are good... but I usually find that their selection of electronic bits is somewhat limited, and weird to sort through when you're trying to search for specific values (such as resistors, caps). For something simple like the first project, though, they might have everything you need!