I can give recommendations on buying components only for the UK residents. Use my recommendations as a guidance on buying components in other parts of the world.
I will not cover buying required tools, like a soldering iron, pliers, tweezers and etc, because you might already have them. If you don't, you can find them in the same places, shown below, as for components. I will only say that the most important tool is a good soldering iron.
Other than the tools, wires and cables, the list of components I compiled here is complete, i.e. includes everything you need to build a MegaDrum module including an enclosure, copper clads and even etchant. I may have not chosen cheapest sources but you can buy almost all components from a single place.
I use four main sources to buy components:
You can get per board lists of components from 'bills of materials' posted in the forum. The list below is a complete combined list of all components.