RS can be pricey, but they offer free next day postage. You can download data sheets, and its worth looking at their 'Designspark' service - a free PCB design package. if you're into that sort of thing.
One of the things that often drives me nuts about them is that sometimes you find a connector which fits what you need, but finding the mating connector for that is a nightmare!
Whilst we're on the subject of free design software, its worth downloading 'LTspice' from Linear technology. This is a free circuit simulator - a cut-down version of Pspice or Spice. Very easy to use and you can see how a circuit is behaving without having to build it up on a breadboard and check it with an oscilloscope.