Here are my favorite electronics stores:
Aquario (Porto) - Nice collection of generic electric components, ICs and tools, but not for hobbyist electronics, like sensors, motors or other robotics components;
InMotion (On-line) - Nice catalog with products from SparkFun and Pololu, etc. Usually they offer the shipping costs at Christmas. It is possible to order SparkFun items by mail that aren't on their catalog.
PTRobotics (On-line) - Like InMotion, they have a very good catalog of products.
Found a link on a forum with their own list: LusoRobotica
Sparkfun (US) - Best generic store, but the shipping costs can be very high for a direct order. The most common items can be found in distributors around the world.
Adafruit (US) - Main competitor for SparkFun. Can't tell wich is best.
Pololu (US) - Best store for motors and related products, shipping costs have the same problem as SparkFun;
eBay stores (mostly China) - Sometimes we can find great deals with free shipping from high trust rated sellers.