It depends on where you live!
In Australia, Farnell and RS aren't especially cheap, at least compared to the US, but the free shipping is pretty great.
For generic components such as resistors and capacitors, eBay is pretty decent.
In the USA, try Digikey, Mouser, or anyone else who advertises in a US magazine like Circuit Cellar.
If you need many components (as in reels of them), you could try your luck with Dealextreme or Alibaba.