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:
- Farnell
 - Rapidonline
 - Ebay
 - Maplin. I use it only when buying in a store.
 
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.
| Value | Quantity | Farnell link  | 
Rapid link  | 
Ebay link  | 
Comment | 
Capacitors | 
|||||
| 1uF | 1 | link | link | ||
| 22pF | 4 | link | link | ||
| 100nF | 7 | link | link | ||
| 470nF | 1 | link | link | ||
Diodes | 
|||||
| LED | 1 | link | link | ||
| 1N4148 | 3 | link | link | ||
| BAT85 | 64 | link | link | ||
Resistors | 
|||||
| 33 | 2 | link | link | ||
| 100 | 34 | link | link | ||
| 220 | 4 | link | link | ||
| 330 | 4 | link | link | ||
| 1k | 3 | link | link | ||
| 3k3 | 1 | link | link | ||
| 4k7 | 7 | link | link | ||
| 6k2 | 1 | link | x | You can choose alternative close value | |
| 10k | 2 | link | link | ||
| 47k | 2 | link | link | ||
Inductors | 
|||||
| 10uH | link | link | |||
ICs | 
|||||
| Atmega32/324P | 1 | link | link | ||
| PIC18F2550 | 1 | link | x | ||
| 4051 | 4 | link | link | ||
| 6N138 | 1 | link | link | ||
IC sockets | 
|||||
| DIL40 | 1 | link | link | ||
| DIL28 | 1 | link | link | ||
| DIL16 | 4 | link | link | ||
| DIL8 | 1 | link | link | ||
Connectors/headers | 
|||||
| Pins array 36x1 | 4 | link | link | ||
| USB Type B | 1 | link | link | ||
Sockets/jacks | 
|||||
| 8x2 | 3 | link | link | ||
| 20x2 | 1 | link | link | ||
| 5x1 | 3 | link | link | ||
| 4x1 | 1 | link | link | ||
| 6x1 | 1 | x | link | ||
| 3way jacks | 17 | link | link | ||
| DIN5 | 2 | link | link | ||
Controls | 
|||||
| Buttons | 2 | link | link | ||
| Rotary encoders | 2 | link | x | ||
LCD | 
|||||
| 16x2 | 1 | link | link | link | |
Enclosure/Case | 
|||||
| Small sloped | 1 | link | link | ||
Crystals | 
|||||
| X2 | 16MHz | link | link | ||
| X3 | 12MHz | link | link | ||
PCB | 
|||||
| Copper clad | 1 | link | link | ||
| Etchant | 1 | link | link | ||
