Every good tinkerer needs a good collection of catalogs on his or her shelf - you simply can't get the majority of parts you'll need from the local hardware store or Radio Shack.  This list, while far from complete, should give you a good start with your own bookshelf.  Most of the catalogs here are free, and some are just plain huge as well (there's a reason MSC calls theirs the 'Big Book').

Company
Catalog
Product Line & Comments
All Electronics
Catalog Request

Online Catalog
A haven for tinkerers - lots of odd surplus parts and components (not as odd as American Science and Surplus, but more than Jameco).  If they happen to have what you're looking for, you can usually get a pretty good price on it.
American Science & Surplus
Catalog Request

Online Catalog
Surplus of a lot of weird...   ...well, crap.  Some of it is just plain useless (unless you really have a pressing need for a bag of 500 orange crayons), but there are some goodies in there (always lots of interesting electromechanical modules).  Plus, the frequently humorous product descriptions makes for fun reading.  If you're lucky enough to live near one of their retail stores (located in northern Illinois and Milwaukee), be sure to visit - sometimes that killer idea doesn't strike you until you're holding some weird obscure gadget that you dug out of one of the bins...
Clippard
Catalog Request

Online Catalog
A tinkerer favorite for pneumatic cylinders and fittings.  
Digi-Key
Catalog Request

Online Catalog
Electronic components - very nice selection, almost always has what you need in stock, fair pricing, free shipping if you pay via check or money order.  I almost always get my prototyping components from here (and then hunt around for better prices elsewhere when I shift into production mode).
EEM

EEM (Electronic Engineers Master) is basically the Thomas Register of electronics.  It currently comes in 4 paperback volumes that cover everything electronic (passive components, LEDs, ICs, connectors, wire, power supplies, etc.).  Not quite as useful to the tinkerer as a Digi-Key or Mouser catalog (since it lists companies who want to sell you 5000 widgets at a time), but still not bad to have around - if you can get it for free.  You can order it online, but it'll cost you over a hundred bucks.  Somehow, I get a new set each year for free, and I'm assuming that I managed to get on some sort of special list.  As best as I can  figure, it's because I'm on the mailing list for Electronic Products , which is basically just a collection of ads.  So who knows, maybe filling out the subscription request form (while pretending that you deal with purchasing large numbers of various components) will net you a set of the EEM books.  Be sure to also check out EEM Update , which is a site that will let you request a ton of free catalogs from various electronics vendors.
Enco
Catalog Request

Online Catalog
Great catalog for the home workshop.  Not always the best quality stuff, but excellent prices (think hobbyist-grade, not professional-grade).  Tooling, raw materials, tools, small import machinery.  Good stuff for getting started in metalworking without taking out a bank loan.  They also send out monthly flyers with even lower prices.
Grainger
Catalog Request

Online Catalog
Industrial supply, a lot like McMaster-Carr.  This and the McMaster catalog are probably the two most popular books at industrial sites.
Jameco
Catalog Request

Online Catalog
Electronic components - not nearly as good of a selection as Digi-Key and others, but great prices, and more 'tinkerish' offerings than other suppliers (more electromechanical bits - motors, solenoids, etc.)
J&L
Catalog Request
Machine tooling, primarily - end mills, drills, daps, reamers....  Some raw materials, fasteners, etc.
MCM Electronics
Catalog Request

Online Catalog
Electronic components, lots of home audio visual stuff.
McMaster-Carr
Catalog Request?  Ha ha ha ha!!!

Online Catalog
McMaster-Carr is one of those mainstays of industrial supply.  Thay have a huge selection of just about everything you can imagine that might be used in industry (raw materials, fasteners, building supplies, janitorial - you name it, it's in there).  The problem is, getting a catalog takes nearly an act of Congress.  You can spend over $1000 a year with them and still not be deemed worthy - heck, copies regularly sell on Ebay for a good $25.  Their online version isn't too bad, but it's murder to navigate on a slow connection.  Thus, after much scripting, leeching and concatenating, I finally was able to offer these massive .pdf versions: McMaster-Carr catalog
Mouser
Catalog Request

Online Catalog
Electronic components - good selection of swiches and jacks.
MSC
Catalog Request
Another big industrial supply catalog - mostly the same sort of stuff found in McMaster-Carr, but much much easier to get a catalog.
Newark Electronics
Catalog Request

Online Catalog
Electronics supplier, has pretty good prices and a very large selection, but doesn't always have the stuff in stock.  Nice big catalog, though.
Small Parts  
Catalog Request

Online Catalog
Just what it says - small parts.  Tiny screws, fasteners, ball bearings and other small stuff.
The TAB Electronics Yellow Pages

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