A selection of online stores selling capacitors:
MCMelectronics/Newark has a wide selection of capacitors: ceramic disc, molded, surface mount capacitors, polarized and non-polarized axial and radial electrolytic capacitors. They also sell audio-grade metalized polypropylene film capacitors and special caps for motor-run and motor-start applications. The store carries a few excellent capacitor kits as well.
Radioshack.com: ceramic disc, metal film, polyester film and electrolytic capacitors.
Parts-Express.com: ceramic disc capacitors, polarized, non polarized, sub-miniature and high temperature electrolytic capacitors. They also carry a wide selection of crossover capacitors from simple non-polarized electrolytic caps to special high quality polyester film and polypropylene capacitors for all of your loudspeaker and audio projects, such as: Audio Cap Theta Poly Film, Auricap Metallized Film, Dayton Metallized 1% Polypropylene, Dayton Film & Foil Polypropylene, Jantzen CrossCap, Kimber Kap Metallized and Solen Metallized Polypropylene Capacitors.
Ebay.com: Search for capacitors here, or use the search box below:
The offers on Ebay are short-lived, so use the search box on the left for the most current listings. I will only mention a few kits that grabbed my attention at the time of this writing. For example, a listing for an superb kit of 335 radial electrolytic capacitors with 29 different values, from 0.22uF to 4700uF, a cheap ceramic disc capacitors kit containing 1000pcs with 50 different values from 1pF to 0.1uF and a 100 piece 50V mylar capacitor kit containing 15 values from 10nF to 0.68uF.
Maplin.co.uk (UK): has a few kits and a large selection of capacitors: ceramic, polyester, mylar, polypropylene, double layer, electrolytic, class X2, class Y2 andvariable capacitors.
Rapidonline.com (UK) capacitors: axial and radial electrolytic, ceramic, polystyrene, polyester, mica, polypropylene, tantalum, memory backup, motor run, suppression and variable capacitors.
Other stores: Amazon, Farnell (UK), Digi-Key, Frys, Mouser...