If you know what it's called you can probably find someone to sell it to you in the mechanical parts and tools vendor list below.
Bolt Depot has a great selection of imperial and metric fasteners, and will even sell you screws individually.
Online Metals is a great place to order metal as it is usually cheaper then McMaster, however they do not deliver the next day.
American Science & Surplus
Similar to electronics goldmine, but with more mechanical parts such as motors, pumps, switches, optics, batteries and power and a lot of other stuff.
Freeman Mfg. & Supply Co.
Polyurethane foam supplier.
McMaster-Carr Supply Company
They sell a multitude of materials, fasteners, fittings, measurement tools, etc.
If it is part of something, McMaster probably sells it. “Most orders are delivered the same or next business day at standard ground rates.” Usually slightly more expensive then other vendors for everything. But you get what you pay for in terms of service and delivery times.
MSC Industrial Direct Co., Inc.
Just like McMaster except their website is horrible. The website has been fixed after they bought J&L, so they are a great alternative to McMaster.
J&L Industrial Supply
MSC probably bought this company for the great website. The website also now has a new domain name with more letters. J&L mostly stocks tools and metal working supplies. Check their online sales fliers for deals on calipers and other tools.
Not quite as nice as McMaster’s website but they have a slightly different selection.
Travers Tool Co., Inc.
Travers sells similar products to MSC/J&L but it is located in Queens for my convenience. Unfortunately their website is somewhat lacking, and does not currently seem to work in Firefox 3.
Small Parts Inc.
They sell small parts. Gears, bearings, lead screws, sprockets, tubing, etc.
Berg also sells small parts, however their parts are usually more precise and expensive.
The Robot Marketplace
Robot Marketplace carries motors, electronics, wheels, gears, carbon fiber, remote controls. batteries and more.
The robotics competition for highschool students puts a ton of information online explaining how varios parts connect and lists the manufacturers who donate these parts. It is great for looking at the information for coming up with ideas and figuring our what parts are called.
10 -The Kit of Parts-RevB.pdf
2008 Tips and Guidelines RevB.pdf
This company sell an industrial strength Erector set and offers a ton of possibilities for larger projects.
Friction is the enemy of moving parts! Fortunatly, Igus offers several low friction solutions to your sliding problems.
ServoCity carries a wide selection of electronics but its best products are a selection of mechanical parts that can be attached to servos.
If you need something that is metric and can't find it elsewhere, this is the store for you. The website will probably make you go blind, so calling is suggested as they are quite helpful.