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Distributors

Contents: 

Local (to Atlanta, GA USA)

If you need parts on short notice, look at these. You can also order online from these distributors.

Ack Radio Supply

McMaster-Carr

Large mechanical supplier. Also has industrial electrical parts. Has will-call so you can call in an order and pick it up in a couple of hours. This is the place to get mechanical parts in Atlanta quickly.

Surplus electronics

Almost everything here is cheap. This is definitely the way to buy LCDs. These are usually the cheapest places to buy very common or very unusual parts.

All Electronics Corp
B.G. Micro
The Electronic Goldmine

Development, prototyping, and special-purpose hardware

Acroname

Robot-related parts: Sensors, microcontrollers, small motor drivers, etc.

Digilent

Programmable logic development boards. Lots of them, with add-on boards, and they're cheap.

Spark Fun

Lots of robotics and general prototyping stuff. Breakout boards for various interesting chips and some parts that are hard to get through other channels.

Online distributors that sell small quantities

Digi-Key

Look here first. Good online parametric search.

Mouser

Look here second. Similar to Digi-Key, but somewhat different prices and inventory.

Arrow
Avnet

Arrow and Avnet are large industrial suppliers that sell many parts in small quantities.

Jameco

Electronics distributor. Not as large as Digi-Key, but sometimes cheaper, and often easier to find common parts (they don't have dozens of kinds of resistors).

Mechanical parts:
SDP-SI
MSC
Online Metals