I agree with you, there are few if any shops in Sydney that suit the hobbyist.
While Jaycar is just up the road from me, they have a limited range of useful stuff and what they do have is overpriced.
I've bought the bulk of my stuff via the internet, here's some vendors that might be of interest:
Sparkfun - it's way to easy to spend too much money there! Good range of microcontrollers, PIC, AVR, ARM etc. IC's and breakout boards for IC experimentation - very handy for old guys like me who can't solder SMD. Arduinos etc.
Pcbcart - excellent PCB maker for small quantities.
Seeed Studios - Similar sort of stuff to Sparkfun but also their own range of Arduino clones.
Digikey and Mouser as you've already mentioned. Great range. Service is prompt but with a minimum of $30 for shipping, it only works if you're buying above a certain value. (I like to aim for at least a 2:1 ratio - $2 of parts for every $1 of shipping
)
And of course there's eBay - lots of cheap reliable suppliers there but also lots of unreliable ones too.