I will add to that only where I think I'm really adding. I list some recommended suppliers in the next section. IC's which are easy to find. Many IC chips can be found at radio shack by checking their cross reference book. They are convenient if you don't live in a big city with real electronics stores, and cannot meet the minimum order requirements for mail-order.
Many older effects use very simple ICs that are still being made.
Transistors and diodes Some of the more interesting effects used germanium transistors and diodes. You can occasionally find germaniums in surplus places and you can find germanium diodes in Radio Shack, of all places. Ordinary silicon diodes are in Mouser and DigiKey. They are more expensive. Resistors and Capacitors Mouser and DigiKey.