I've used both Digikey and Solen, but Digikey pricing favours large quantity orders, not a few singles. We have a couple of small electronic supply shops in London locally run, but supply is hit and miss. My regular supplier would order any quantity but they have since closed shop. Now left with two shops where the owners look like they are retired or just hobbyists and can't stock a large inventory.
Digikey has a huge inventory. It can be hard to find exactly what you want sometimes. Knowing the right search terms is a big help. I haven't dealt a lot with Solen yet. Got my Umik-1 from them. I've been looking at ordering speaker kits from Meniscus but have not yet had the time to see if Solen carries the same drivers. Would certainly save on shipping and not have to worry about the exchange rate.
I do miss Radio Shack, though, because there was a time when they carried a variety of resistors, caps, transistors, op-amps, fuses... Now The Source is just another consumer electronics shop, not much different from the other big box stores. Canada Computers has an ok supply of computer parts and their cables are half the cost of Best Buy. Not Monoprice cheap, but if I want something in a hurry it's not silly expensive.
I have not tried Allied but
bulbspro.com has a lot more than just bulbs... transformers, breakers, fuses, motors, switches... big selection of electrical supplies.