Well, aside from Wholesale Sports, Fishing Hole, Westwinds, and Fish Tales, I buy a number of items online (eBay, mostly), and at non-fishing shops, like Buckskin Leather (can't beat $4 rabbit skins), Beads and Plenty More (Northland Village...great glass bead selection),...and hit up hunters I know for spare fur and feathers. Craft shops also have some interesting finds for materials.
It often pays to buddy-up with other tyers and split the cost on larger amounts (like 500 packs of hooks, or whole skins, etc).