There are a number of good places to buy from. Here are the one's I generally go to for stuff.
www.therealbobroberts.net
For many arcade game parts as well as info Bob is awesome. I will mention that he's old school and you email him your list of parts, he emails back a confirmation and price and then you mail him a check. Even with his old school methods he still usually gets you your parts faster than anyone else.
www.arcadeshop.com
arcade parts and artwork. a good resource but I don't care for the fact that you need to call to order.
www.thisoldgame.com
a great resource for arcade game artwork
www.phoenixarcade.com
another great resource for arcade artwork
www.quarterarcade.com
great place to find original arcade parts. Most are used parts but when trying to find a a certain board or control panel they can be a great place to look. Also they have great customer service.
www.crazykong.com
they don't sell anything but they have pin outs for games and manuals so a great resource for info on many games.
www.videogameparts.com
Is a good resource for a number of NOS and sometimes very hard to find parts. I believe they recently picked up a ton of Sega parts that are not listed on the site yet but if you can find a part number they can check to see if they have what you need.
Also there are a number of members on this site who sell certain parts.