Some of the more common sensors are available from the large industrial electronics parts houses such as Digikey, Mouser, Newark, which are listed on the Electronics Getting Started page. Many other sensor types are available from the following vendors.
Parallax Pololu Sparkfun SolarBotics
The above vendors commonly offer not just the sensor, but the sensor configured into a breakout board. A breakout board has the sensor mounted on it with terminals which allow you to easily connect the sensor to your system. In contrast, the large parts houses typically sell you the sensor alone. It is then up to you to figure out how to connect to the sensor. Getting the sensor already mounted on a breakout board is especially useful since most new electronic IC sensors are only fabricated in a (difficult-to-solder) surface-mount package.
In addition, the above vendors often supply example connection diagrams and microcontroller code to run the sensor. The offerings from these vendors is not limited to just sensors. They all offer a broad selection of electronics and hardware for implementing mechatronic and robotic systems. It's worth your while to browse around at these companies to get a feeling for what's available.
NASA Tech Briefs is a monthly publication which covers new technologies, sensors, software, mechanical designs, electronics, materials and other things of interest to design engineers. Of equal interest are the advertisements and new product announcements. Nasa Tech Briefs is a good way to help stay abreast of what's currently available. You can get a free subscription in either print or electronic form. The home NASA Tech Briefs website contains links to searcheable archived issues.