In addition to Digikey, Mouser and Newark similarly have diverse catalogs and allow single-unit orders of most parts. I've never ordered from Newark, but I do order from Digikey and Mouser, depending on who has the best price and availability on whatever it is I'm buying.
http://www.mouser.com/ http://www.newark.com/ (and a clickable link for Digi-key: http://www.digikey.com/)