Take a look at vexrobotics.com. They have all the mechanical and electronic parts you'd need to build small-ish robots (think Roomba size or a bit bigger.

Edit: actually they have a VEX Pro line too that's aimed at larger robotics too (primarily designed for FIRST and BattleBots).

mcmaster.com for everything, sdp-si.com for gears/timing belts etc, vxb.com for cheapo but decent bearings

McMaster.com