Mouser and Digikey are the two major electronic vendors. I prefer Mouser, but you'll most likely have to order from both if it's an elaborate project. You'll also have to order the PCBs (Printed Circuit Boards) and a couple parts from AMB, Tangent, or Beezar.
Firstly what is your budget? Portable or desktop? Tubes or Solid State? There is a lot of planning and asking involved before you dive into building an amp. If you have Excel, you can create your own BoM (Bill of Materials) to keep track of everything you need, and I mean everything (nuts, screws, wires, heatshrinks, solder, and many tiny misc items that are not usually included in BoM)! You want to avoid Radioshack as much as possible and buy everything in one go from Mouser and/or Digikey.
If you've never soldered before, get some breadboards to practice on before you attempt the real thing. If you don't have any of it, include it in your BoM.
Electrolytic aluminum capacitors, Integrated Circuits, Transistors, and Diodes are the most common components that gets fried so order spares! Include a "Spare" sheet in your BoM like I do.
Take precise measurements before drilling holes into your chassis. You have power tools right? Always read datasheets!
Would you like to spend a little extra money on practice amps like the CMoy or do you want to skip all that and build your dream amp?