Where can I find all these things?

In local (Markham area):
I shop around local pretty often. For general hardware I go Homedepot, Princess Auto, Home hardware or Canadian Tire.
For most of Robotics needs: Canada Robotics in Markham.
For electronic needs I go Sayal in Scarborough and RIchmond Hill.
For metal supplies I go Metal Supermarket in Scarborough in 45 Ironside Cres.
Also for bearing or sprocket I go Canadian Bearing - 1200 Tapscott Rd, Scarborough
For plastic parts like polycarbonate I go Piedmont Plastic in Markham - 938 Tapscott Rd,
For LiPo batteries or other R/C needs I go Advanced R/C Hobby in Markham (Woodbine & Hwy7).
However, things are pretty expensive in local so I rather buying things online if I am not in rush.

On the net:
In general I used eBay a lot for almost everything like LEDs, wires, switches etc;
2nd choice would be Hobby King;
And 3rd choice goes to Amazon.ca.
Otherwise, you can almost find everything to build robot in Robotshop. But they are a bit pricy thou.
I also check Sparkfun, Seeed and DFrobot every week.
For LEGO parts I go Brick Link, the site is very good for you when looking for particular pieces.

3D Printing:
I am using RostockMax, Printrbot and I3 for 3d printing and my files for 3D printed robots are at thingiverse.com and direct link to my design are here: http://www.thingiverse.com/hardmouse/designs

P.S.
During the Toronto Maker Faire 2014 many people drop by and ask me for details. I apologized if I provide any incorrect resources links because I could remember the exact URL. If you still wondering some parts I didn't mentioned above and you want to know, please write me an email and I will be happy to assists you.