Consider the following vendors for purchasing electrical components:

Radio Shack is a good brick and mortar store to shop for basic items. 
The selection is limited but you get to touch and see the items before you buy and you take possession immediately. 
Radio Shack also has a WEB site that you can use for browsing: 
Link to www.radioshack.com .

www.jameco.com is a great place for hobbyists to order electrical components and tooling. 
It is easy to navigate, has low prices and carries nearly everything you will ever need. 
This site also provides data sheets that explain how to use each component. 
Link to www.jameco.com .

www.newark.com , www.digikey.com and www.mouser.com are sites that have an even bigger selection. 
These sites are geared more for businesses but can always be used for data sheets.