I have no affiliation with any of the suppliers listed here. But I'm a good bargain shopper, and have found good deals and good service at these fine internet stores.

Artbeads.Com, great source for silver bead caps, findings, etc.
The Northern Bead Company, cheap stuff in bulk. Good source of base metal findings and excellent selection of seed beads.
Heritage Glass, glass rods, beadmaking supplies and tools, and some fun findings, including bead pens, bookmarks, and change-a-bead rings and pendants.
Jool Supplies, LOTS and LOTS of beads and findings for cheap.
Fire Mountain Gems and Beads, good selection and reasonable prices for silver beads, seed beads, and findings.
Frantz Art Glass, Beadmaking supplies--OK prices are balanced by GREAT selection, including a wide range of the hard-to-find Moretti/Effetre compatible dichroic sheets, strips, and stringers. A limited selection of Lauscha glass, including different sizes of the Lauscha clear rods. Lots of boro: boro dichroic and several brands of rods and tubes. Marble molds, hot fingers, hemostats, torches, kilns... Friendly service too. A good, but not cheap, one-stop spot to shop for all your beadmaking needs. **Important**: If you're a first time shopper there, you have to call their office during business hours and set up an account. Thereafter, you can use the shopping cart and online checkout as usual.
Arrow Springs - good source of glass rods: Moretti/Effetre, Murano, Lauscha, Bullseye, Satake, Glass Alchemy, Northstar, Colormax, Pyrex, etc... No pictures--you have to know what you want. But if you do, they probably have it. They also have a cool tips and tricks section, including a nice tutorial on making glass pens.
T & M glass - boro supplies, including rods, tubing, scalloped tubing, frits, powders, dichro, and millefiore.
Beaded Impressions - a fave source of seed beads, reasonable stones, pearls, findings, etc.
GlassDaddy.Com - great source of Lauscha glass. It's not as seedy as it sounds--he is actually the daddy of a beadmaker... heh heh
Halstead Beads - wholesale prices on silver beads and findings... $100 minimum order
Land Of Odds - a little bit of everything... (beads, findings, seed beads, tools, etc.), including some hard-to-find beads and findings.
The Bead Shop - my favorite actual brick and mortar bead shop. Their prices are high compared to the online-only market, but they have fabulous stuff in their walk-in store, and the folks who work there are super-helpful and friendly. A good place to go in the Bay Area, particularly if you are new to stringing and have questions, or if you like to touchy-feely your beads before you buy.
Astral Beads - Good prices on Swarovski, seed beads, silver, and stones
Chau's Pearls - Good prices on freshwater pearls, including Biwa, coin, and other fun shapes.
York Beads - Czech glass and more. Amazing fire-polished beads in lots of shapes and colors. Large selection of small and larger seed beads. There is some stuff here I haven't seen anywhere else. Very cool. Excellent prices, but you have to order kind of a lot of each kind of bead.
Treasure Island Pearls and Beads - My newest and most dangerous find. Seriously, do not shop here unless you can justify buying lots of pearls and gemstone beads. We're talking great regular prices and amazing sales where you can find 16" strands of gemstones (NOT chips) for less than $2 and freshwater pearl strands starting around $3, with some nicely shaped and colored strands going for under $6. Higher end nice stuff too--including unusual cuts and shapes and lots of goodies that will inspire any jewelry designer to greatness.