Maplin - dropped most of their electronics line a few years ago and what they have left is more expensive than most. However, still a useful standby, especially if you live near one of their shops (Dalry Road Edinburgh, Great Western Road + St Enoch Square Glasgow).
www.maplin.co.uk

Rapid - have recently expanded their range hugely. Their website is perhaps the simplest to navigate, and their range is excellent. Prices are good - some of their budget tools are the best to be found. No minimum order.
www.rapidonline.com

CPC - part of Farnell but acting like a completely separate company, they are often cheaper than their bigger sister company, and stock almost everything most beginners would want.
www.cpc.co.uk

Farnell - stock just about everything you could ever want and plenty you probably don't. A recent redesign has made the site much easier to use and the search engine is excellent. Farnell tends to be more expensive than CPC for small quantities and has a minimum order of £20.
www.farnell.co.uk

Greenweld - used to have a huge range of surplus components at bargain prices. Everything from 50p motors to lead acid batteries as used in our busking boxes. Recently they seem to be modelling themselves mor on the "Innovations" catalogue but there are still some useful items to be found.
www.greenweld.co.uk

Crownhill - if you are after PIC microcontrollers this is the place to go. Sold at the same price whether you buy 1 or 100, they have a far bigger range than CPC or Maplin and tend to be less than half the price. Also a limited range of resistors and other components and a selection of sometimes interesting surplus items.
www.crownhill.co.uk

Other Sites
RS - http://rswww.com
Tech Supplies - www.techsupplies.co.uk
Screwfix - www.screwfix.com

Handy Hint - for 3mm axles use size 11 knitting pins from your local charity shop.