We make our circuit board from FR-4, which is copper-clad plates of fiberglass. The thickness of the copper is measured in ounces, a normal amount is 1oz., while 2oz. is thicker and good for high-current and sensative circuites.
abcfab on Ebay is a great source for FR-4, including both blue and black types!
Amazon also has some cheaper options and you know they ship fast. But no colors.
Tinkersphere has some if you're really desperate, but they very expensive so don't do it unless it's truly last minute.
Look for high-performance carbide end-mills/bits. Use Bantom Tools as a reference for the bits you need, we will be using 1/16" end-mill, 1/32" end-mill, 30deg engraving bit, and 1mm drill-bit (for mini-drill-press). They break easily because of how small they are, so below are links to cheaper alternatives online:
ITP has a good supply of resistors, capacitors, LED's, and some other basic components and IC's. Once you start researching your own project, you'll need to branch out and start buying boards and components online.
Tinkersphere is just a couple blocks from school, and is stocked perfectly for any p-comp student.
Bantam Tools sells everything you need to mill PCBs, though their prices are a bit high.
Adafruit creates and documents TONS of hardware projects that we can learn and borrow from. Plus, their in NYC so shipping can be quick.
Sparkfun is similar to Adafruit, except they're in Colorado.
Digikey is where we get the vast majority of our components. Huge catalog that can be confusing at first.
Mouser is another component supplier like Digikey.
Ebay is a great place to find parts and materials you can't find anywhere else. However, depending on where it's coming from, shipping might take a few weeks, so plan accordingly.
Alibaba is like ebay, except it's a lot of stuff from China and it's super cheap! But, once again, things can take a long time to arrive, so plan accordingly.
Zephyrtronics has almost everything you'd need for working with SMD parts.