If you want some more information about what machine tools are around to fit your project, check out the machine shop tooling overview.
Tooling
Haas tooling
Haas is a CNC machine manufacturer that also supplies tooling. Their price for quality and selection has been quite good. Link
onlinecarbide
A Chinese supplier of cheap tools. The price is excellent, the quality is good for what it is. Recommended for tools like thread mills, which can get shockingly expensive when you buy name brand. Link
MSC Direct
An industrial supplier. Very wide selection of tools. Generally expensive, but if you're looking for a specific tool not available on Haas or Onlinecarbide, this would be a good place to look. Link
McMaster Carr
Another industrial supplier. You pay for convenience when you use McMaster, but they are pretty consistent and willing to ship small stuff, which makes them very useful. Link
Material
McMaster Carr
McMaster has a very good selection of metals, and they're willing to ship 1-ft sticks, while many metal suppliers sell them in 12-ft sticks. Again, you pay for convenience, they are typically expensive. Link