You need to buy a lot of things to build an R2 unit. Here are some of the suppliers I've used or seen mentioned in the R2BC emails. If you don't know where to find something (cheaply) try searching with Google's product search. 

Suppliers that I used for my R2 build are marked with a *.

R/C (Remote Control) - Systems and Components
Hobby People - Aero Sport 5-Ch 2.4G Radio TX/RX  - on sale $50 8/29/2010
ServoCity - Futaba 4YF 2.4GHz Transmitter - R2004GF receiver - $100 for both
Hobby Partz - CT6b 6ch 2.4Gb Radio tx/rx - $32
Annex Depot - Lightobject - 15ch remote

Electrical Supplies
Intertex Electronics - AUTOMOTIVE ZIP CORD, 12/2 BLACK/RED - 100ft/$50

Plastic Globes
Superior Lighting - 18 inch acrylic globe

Metal Suppliers
Arlo Metals Plus (formerly ASAP Source)
Fastenal Company
Hobby Metal Kits
Metal Supermarkets - metals and plastics supplier
*Speedy Metals Online

Metalworking Tools and Supplies
CDCO Machinery Corp
*CPO Outlets - Refurbished tool supplier - Skill, Bosch, others
*Eagle America - Router Bits (V-Bit)
*ENCO - end mill supplier (r2bc)
*Galaxy Products - bosch colt router collets (cheap)
Grizzly Industrial - Tools
*Harbor Freight - Tools
Little Machine Shop - tools & parts for benchtop machinist
*McMaster-Carr - over 400k products
MSC Industrial Direct -
PreciseBits - Cutting & Engraving bits  - good reference section on choosing bits, speeds & feeds
Shars Tool Co -
*Timberline - Router Bits (Timberline-Amana)
Victor Machinery Exchange, Inc

Hardware Items
*Bolt Depot - hardware supplier
*Fastener Warehouse - hardware supplier
K&J Magentics - magnets
Small Parts, Inc. - hardware store for researchers & developers

Ball Bearings
*VXB Ball Bearings - Ball and Linear bearings and rod. (also lazy susan)
Bearings Direct.Com - Ball and Linear bearings
suggestion - use either of the above sources to find the designation of the bearing
you need. then search eBay to see if there's a cheaper source.

Center Foot Casters
Astromech center foot photo gallery
Lowes 3inch caster

Link to R2-X2 2-3-2 Compendium Document By Blake Mann
CuriousMarc 2-3-2 Mechanism - presented at droidcon