MDF and various other structural materials, Home Depot and Lowes. If you get it out of the scrap bin, you can negotiate your own price...otherwise, retail for a full sheet of 3/4" MDF runs in the neighborhood of $20.
Allthread rod, best buys were at Lowes and Tractor Supply, Corp. Price depends on what size/pitch you want.
ACME rod, best buys are at McMaster and Enco.
Ballscrews, if you can't get them surplus on eBay (VERY common item on eBay) you can buy them from BSC. (I think that's right...)
Stepper motors, scrounged from tech surplus. HP LaserJet printers are available at almost all local thrift/resale shops for around $5 each. If you shop around, you can get a better buy -- I paid $0.40 for my last one.
-- Chuck Knight