Note: I started this the other night, and ran out of time. I'm too worn out tonight to dig around for more sources, so I'm going to post this and add to it later.
After some of the earlier posts, I thought I'd list a few of the places I get stuff from.
Enco Power tools, hand tools, sanding/grinding belts, steel & brass bar stock.
BrownellsPrimarily a gunsmith supply company, some steel stock. The big items here are polishing/finishing supplies such as buffing wheels, buffing compounds, blueing & browning compounds, etc. They also have some books called Gunsmith Kinks, tips on all kinds of stuff from customers. Some of it can be applied quite well to knives, etc. They also have some heavy-duty epoxy that will stick just about anything together. It ain't cheap, and you have to mix it properly, but it works.
Centaur Forge Blacksmith & farrier supply house, just about everything from forges and hand tools to machine tools, bar stock, books, etc. Can also order custom punches for marking pieces.
Harbor Freight Import company with lots of hand tools, sanding belts/cloth/paper, buffers, grinders, etc. Bad thing is a lot of their stuff is imported from the PRC, so I try to pick stuff made elsewhere.
Salvage yards Mostly mild steel bar & sheet, you can also find rebar(tent stakes, stands for bird feeders) and other stuff. Leaf and coil springs make good blades and punches and chisels, and can be found here. Don't think just car/truck springs, either; I've used overhead garage door springs of different sizes for all kinds of things.
Don't discount local hardware places, and check the phone book for industrial supply houses. They'll often have some buffing wheels and compounds, and may have buffers, or a grinder you can convert. And of course they'll have drill bits, files and so forth. Note: in drill bits, buy the best you can. They'll last longer, especially drilling high-carbon steel. Even if it is annealed, that stuff is hard. On the subject of drilling, use a cutting oil; the drilling will be easier and the bits will last longer. Brownells has a stuff called Do-Drill that works quite well, and the nice thing is that unless you do a LOT of drilling or machining, one can will last for years.