Purchasing In Small Quantities
Price and availability can be a problem for both the hobbyist and the commercial buyer.  There are plenty of electronics parts distributors (some even specialize in resistors and capacitors), but most are geared to work with high-volume industrial buyers.  What do the big guys get for their money besides volume pricing and free samples?  Depending on who is dealing with who, it may include information on long term availability of older parts, recommendations on alternate sources, and even a complete review of the BOMs (bill of material) of new products.  A distributor might even set up a company store in the customer's building.  Free samples (including entire sample kits) and data books are nice too. 
This is not always a perfect situation however.  Because distributors often don´t have exclusive rights to a component line, a distributor may provide support during the engineering phase of a product only to loose the sale of production parts to a competitor who is $.01 cheaper.  The out-sourcing of production, sometimes to third-world countries, is another problem for distributors.

Regardless of how much help you get from your distributors, people working on new designs should look to second sources early, especially if your company is too small to have serious buying muscle.  A problem is that your second-source might be buying your part from your first source.  Parts brokers bring their own problems, like high prices or parts with subtle defects.  The day may well come when the part you designed in will go out of production or have a 26 week lead time.  There are several ways to get into parts availability trouble:

Avoid parts that are not well second-sourced.  SMD film caps are not as widely second-sourced as their leaded equivalents as of yet.  Offhand, I know of only two sources for SMD polyester.        
Avoid parts that push the technology envelope.  These would include SMD ceramics and tantalums in cutting-edge sizes.  Of all the ceramic and tantalum makers, there may be only one company that makes the tiny size you want.  If you really need them in your design, make sure you have your supply locked in.   
Exotic parts, like mixed-dielectric film caps or  liquid-electrolyte tantalums, should be left to people who really need them.                                       Parts that are generic in their type, but are poorly second-sourced in certain values or styles.  For example, film caps in values 0.010, 0.015, 0.022, 0.033, 0.047, and 0.068 (E6 table) are more commonly available than 0.012, 0.018, 0.027, 0.039, 0.056, and 0.082 uF (from E12 table).  Uncommon package sizes, lead spacings, value/voltage ratings, tight tolerances, or some combination can also be a problem.  Manufacturers  greatly in the variety that they make a type of capacitor.  If you are not sure, check to see that your part is easily available from other sources. 

There is a paradox here, products with cutting-edge performance often require cutting-edge parts that are not second-sourced and may be in limited supply.

Hobbyists** have their own problems.  A common complaint is that hobbyists often can´t get industrial parts in hobby quantities.  Hard-core industrial distributors don´t even print catalogs, just line-cards, because real engineers already have factory databooks.  Some people might say a paper catalog is not as important in the day of the Internet.  However, the web is slow, many web sites are horribly designed or incomplete, and I can still find something a lot faster in a catalog.  I´m not fond of CD roms either but the web has killed them off.  Some distributors are stocking fewer and fewer parts.  This means you may be at the mercy of factory minimum orders.  However, many distributors take credit card orders now, and only a few say they will not sell to non-corporate buyers.  Distributors that welcome small orders usually do print catalogs, and if they don´t, their web site may do as well.  $20-$50 minimums are common however.  If in doubt, check the web site for their ordering polices.
** in place of "hobbyist", you might want to insert "engineering prototypes", "R&D labs", etc

Distributors that print catalogs (most), take credit cards, and have "reasonable" minimum orders include: 

      >>>  Never assume that different sources for the same item will have similar prices.  Last time I needed to order some w-w wire in various colors, I found it priced from $.05 to $.79 a foot.  Never assume one distributor will have the best price on everything, shop around. <<<

New parts: 

http://www.digikey.com  Everyone's favorite small-order distributor, $25 minimum (or else $5 service charge).  Very good web site. 
http://www.mouser.com  Another favorite, no minimum in USA.  Owned by one of the big distributors (TTI).  Mouser has PDF catalog pages of the kind I grew up with, and their prices are often good.  Very good web site. 
http://www.future-active.com  No minimum order.
http://www.alliedelec.com/  A huge catalog, $50 minimum for credit card orders.
http://www.jameco.com/  Lots of stuff at reasonable prices, lots of no-name Chinese parts, very big into switching power supplies these days.  $20 minimum.
http://www.farnellcomponents.com  A huge catalog, Farnell is British and has many European parts, $25 minimum.
http://www.newark.com  Now owned by Farnell, but the product selection may not be exactly the same.  Newark has adopted customizable PDF catalogs like Mouser.  They even have paper catalogs again. 
http://www.garrettelec.com  Specialist in discrete SMD parts, including engineering sample kits, $10 minimum.
http://www.minireel.com/mrframe.html  Another specialist in SMD parts, $50 minimum.
http://www.radioshack.com  The web site previously  known as Tech America is oriented more toward hobbyists than industrial buyers and has a lot of good stuff.  Minimum order not shown.  The Shack's future is uncertain but the website is still up. 
http://www.elecsupp.com/  A "capacitor specialist", although they sell other things.  $25 dollar minimum order. 
http://www.capacitorsplus.com/  Carries many capacitor lines.  Sales policies not stated. 
http://www.rfparts.com/  Mica, air-variable, and other capacitors with helpful pictures. 

http://www.mscdirect.com/  tolls

Sites helpful for purchasing: 

http://www.findchips.com/  Search a large number of distributors for part numbers.

Sites helpful for electronics in general: 


Money permitting, hobbyist might find it more convenient to buy kits rather than individual parts.  There are many kit sellers on the web and they are easy to find.  A problem is that kit sellers focus on SMD caps.  Their through-hole ceramic kits are generally poorly conceived. 

Kit specialists: 

http://digikey.com  Kits for resisters and other parts. 
http://www.componentkits.com/  Engineering kits, a page of links to electronics sites.
http://www.smtzone.com/  SMD resistor and capacitor kits, plus storage boxes.
http://www.engineeringkits.com/  SMD component kits, plus storage boxes.

Surplus parts: 

http://www.surplussales.com/  Surplus Sales of Nebraska has gas and vacuum capacitors, Maxwell HV capacitors, many many other surplus parts you won't find other places. 
http://www.germansurplus.de/ Vacuum capacitors, much test equipment.

The above distributors are pretty much industry oriented.  If you are looking for microwave oven parts or car stereo stuff, look somewhere else.  The list is not an endorsement of any distributor, I have had personal experience with only a few of them.  In my experience, Digi-Key usually has good taste in parts.  If Digi-Key has it in their catalog, it means that it is "probably" a mainstream part with good availability.  This tends to be true of the other distributors as well. 

Chinese parts: 

Buying Chinese parts direct is always scary.  The quality is uncertain, the distributors unreliable and/or dishonest.  It can be worth it however.  Big American distributors tend to be reasonable with things like major semiconductors, but very high priced with jelly-bean parts like cable mounts and ties, and some connectors.  You can often buy these parts from Chinese distributors with 90% savings.  Avoid the Chinese distributor web sites and buy from the same people through Amazon.  The prices are often even better, shipping is often free, product reviews are invaluable, and the distributors are more reliable when Amazon is watching.  Love you Amazon! 

Things not to buy:  electrolytic capacitors (buy Japanese), motor-run capacitors (buy North American made like Genteq), many switches and relays
Things to consider buying:  cable ties, cable mounts, some connectors, some rotary switches not easily available from other sources 


http://www.circuitworld.com/  distributor list and many other links
http://www.edtmag.com/distj.htm  distributor list
http://www.repairfaq.org/filipg/LINK/F_mail_order.html  distributor list
http://avatarengineer.com/linx/c.htm  distributor list
http://www.itechweb.com/link_dis.htm  distributor list
http://www.epanorama.net/   includes distributor list
Who makes what? 

FaradNet says there are some 1500 capacitor manufacturers in the world.  I have made a list of the best known ones and show, in a generals sense, what they make.  To get on the list, the company had to make themselves easily available via the Internet (what else?), had to be reasonably well distributed, or just strike my fancy.  This left out many pacific rim companies with no obvious western distribution, and companies with no web site (or a site impossible to get useful information out of).  Distributors with a good range of products are included when found.  This left 100-150 companies.  A disclaimer: I do not guarantee that the list is either accurate or complete.  The file is very slow to display and redisplay, so please have patience.  It was created by converting an Excel spreadsheet to HTML. 

       A guide to the list:
          "Datasheets" means enough information to construct the part number for the part you want.  Some companies just give an overview of what they make.
          "Tech Info" means applications or capacitor theory information.
          "Software" could be applications software (temp. rise, reliability, etc.), Spice models, or S parameters.
          "Thru-Hole" means anything that is not SMD, including wire leads, screw connections, quick-connects, etc.
          "XY" means capacitors meeting the requirements of EN132400 for power-line filter use.  Those only approved by UL/CUL are not included. 

Aluminum electrolytics:  The largest manufacturers are United Chemi-Con and Nichicon.
Ceramics:  AVX/Kyocera, Kemet, Murata, and TDK have about two thirds of the market.
Film:  Many manufacturers.
Tantalum electrolytics:  AVX/Kyocera, Kemet, and Vishay have more than half the market.