For resistors and capacitors, i'm really glad i found the "sample books" on eBay. Already in a smallish binder, you get strips of SMD resistors and capacitors and they're already LABELED! You get 25 or 50 or 100 of each, depending on the value.
Here's one, for example:
http://www.ebay.com/itm/0805-SMD-3025pcs-Resistor-and-700pcs-Capacitor-Sample-Book-/121240656427?hash=item1c3a819a2b:g:FE0AAOxyNo9St60-BTW - My first SMD soldering was with 1206, but i decided pretty quickly that i'm better off with 0805 - just about everything is available in 0805, and it's still manageable to see and handle with tweezers. I've worked with 0603, but i don't like it as much.
For active components, I'd look around at other posts where what to stock up on is discussed, and order 10 or 25 or some of each from Mouser, or DigiKey or Element14. When you shop those places, pay attention to the price at Quant 1 -vs- 10 -vs-25 : sometimes the prices drop really quickly - especially from the 1 each to the Quant 10.
--adam