If you are looking for quality parts, Digikey and Mouser are the best options. Both offer a wide selection and both take small orders. Digikey will charge sales tax regardless of where you live. Mouser, however, does not. Both companies accept online orders and offer excellent search engines. All data sheets can be found online. You can access your order status, order history, and re-order past orders by opening a free account. US Postal Service is the cheapest shipping option. US Postal Service is the cheapest shipping option for both. Digikey ships your order faster than Mouser. Their shipping cutoff time is 7pm Central, or later. However, Mouser’s USPS cutoff time is 3pm Central. They’ve missed some of my orders even though they were placed hours before. If you need to rush, you can pay the sales tax and order through Digikey. Prices are very similar, but you should always verify them.
Newark offers stuff the other two do not. Farnell is its European affiliate and it can order anything from the Farnell catalog. This includes a lot of European parts that are not available in the US. Newark is always forgotten about, possibly because I don’t have an account, but I order from them occasionally.
Ebay is a great place to buy cheap LEDs from Hong Kong. There I buy my LEDs in bulk from Ebay. These LEDs have been quite reliable except for some UV LEDs that failed after about an hour. However, they were still relatively inexpensive at 11 cents each.