Check out these sites.

Parts Archive
1

http://www.futurlec.com -> Section Value Packs

2

http://www.lsdiodes.com -> Cheap LEDs

3

http://www.directleds.com/ -> Extremly chap leds  :D

4

http://forums.devhardware.com/f10/s -> Also check out this site!!! You can find great stuff in the deals section