Shopping list for Arduino Starter Kit
This list has links to the products in the Partco webshop ( http://www.partco.biz/verkkokauppa/find_us.php), located near Helsinki. The components can sometimes be gotten cheaper from e.g. http://www.futurlec.com/ and other places instead, but the delivery times are longer.
Addennum: Check out also http://paeae.com/arduino.html
Arduino basics

Arduino board

http://www.partco.biz/verkkokauppa/product_info.php?cPath=5&products_id=15335

USB A-B cable for connecting the Arduino to your computer

http://www.partco.biz/verkkokauppa/product_info.php?products_id=10305

Breadboard (Koekytkentälevy in finnish)

http://www.partco.biz/verkkokauppa/product_info.php?cPath=1174_1902&products_id=11605

Jumper wires for the breadboard

http://www.partco.biz/verkkokauppa/product_info.php?cPath=1174_1902&products_id=15423

Optional: DC power for running the arduino without having it connected to a computer.

Should be 6 to 12 Volts, and have a 2.1 mm DC plug (with center pin positive)

E.g. http://www.partco.biz/verkkokauppa/product_info.php?products_id=9571

Simple components to play with

LEDs

Simple (get a few of these)

http://www.partco.biz/verkkokauppa/index.php?cPath=1037_1670

RGB (Multicolor led, get one if you want, fun to play with)

http://www.partco.biz/verkkokauppa/index.php?cPath=1037_1676

Resistors

For LEDs: 180 to 470 Ohms are suitable (get one for each LED, or three for each RGB LED)

E.g. 220 Ohm http://www.partco.biz/verkkokauppa/product_info.php?cPath=2075_12_1025_1329_1348&products_id=12467

For pullup / pulldown for buttons: 1kOhm to 100kOhm are suitable (get about one for each button, and maybe a few extra)

E.g. 4.7kOhm http://www.partco.biz/verkkokauppa/product_info.php?cPath=2075_12_1025_1329_1348&products_id=12534

Potentiometers (variable resistor) (get one or two of these)

E.g. Linear, 10kOhm: http://www.partco.biz/verkkokauppa/product_info.php?cPath=2075_12_1027_1606_1931&products_id=5331

Buttons (get one or two of these)

Pushbutton: http://www.partco.biz/verkkokauppa/product_info.php?cPath=2065_1046_1719&products_id=7224

Switch: http://www.partco.biz/verkkokauppa/product_info.php?cPath=2065_1046_1726&products_id=7286

Light sensor (get one or two to play with)

Fotoresistor (changes resistance from 1kOhm to 1MOhm depending on light level): http://www.partco.biz/verkkokauppa/product_info.php?products_id=5304

LED digit displays (fun to play with, get if you want - get a LED resistor for each pin too)

http://www.partco.biz/verkkokauppa/index.php?cPath=1037_1684

Beeper (makes a continuous, kind of loud sound / tone. Get one if you want some beeps)

http://www.partco.biz/verkkokauppa/product_info.php?products_id=10850

More advanced components

LCD display module (compatible with the HD44780 standard)

E.g. http://www.partco.biz/verkkokauppa/product_info.php?cPath=2075_11_1039&products_id=15708

Driver circuit for motors or other heavy loads

E.g. L293DNE http://www.partco.biz/verkkokauppa/product_info.php?products_id=263

or SN754410 (requires external diodes)

Effect transistor / mosfet for switching load

Relay for switching load

Servos

Normal cheap servos available e.g. at Dealextreme: http://s.dealextreme.com/search/servo or LowPriceRC: http://www.lowpricerc.com

Continuously turning servo, usable e.g. for driving robots: http://www.lowpricerc.com/product_info.php?products_id=745

Stepper motors

DC motors

Speaker

Basic components

Capacitors

Filttering

Larger ones

Diodes

Inductors

Transistors