Digi-Key sells everything, and will let you buy in onesies and twosies without screwing you on the price. Maybe Monoprice for cables, but that's rare.
The one time I needed a DB-9 gender changer in a hurry and paid freaking $20 for it was the day I decided I was done with RadioShack. You served a great purpose, dear friend, but times have changed. I still have my Pocket PC-1 for the memories.
I am very happy to live within walking distance from São Paulo's "electronics district" (it's called Santa Efigênia, for the name of one of the streets around which lots of electronics (some of very uncertain origin), component and junkyards abound. Many items carry heavy import taxes and counterfeit items are sold on the street. I tend to go to the adjacent streets where the least mainstream stores are located. Those are far more interesting.
Walking there is always an expedition to a strange land. I usually get the stuff I planned to get, but often with lots of stuff I didn't knew I needed when I left home.
I know physical stores cannot compete with the internet and its zero-friction-commerce, but those places will be missed when they go.
http://www.mouser.com/ http://www.newark.com/ (and a clickable link for Digi-key: http://www.digikey.com/)
(this link is to our new partbrowser interface - we've been working on designing a new interface specifically with engineers in mind)
If you have any other suggestions or ideas, definitely let us know.