Oomlout is an excellent source for Arduino hardware and a good selection of sensors and other electronic parts. The Oomlout Starter Kit for Arduino is a brilliant starting point. You can also download the Oomlout experimenters guide free of charge. This includes many useful example circuits and programmes.
ebay is a good source of Arduino sensors and electronic parts. Many are supplied from China and Hongkong so delivery times are up to a month. My experience is that the suppliers are reliable. Servos can be sourced at an exceptionally good price.