Ummm, if you're just talking about buying all the parts seperately, almost any mail order parts catalog will work. i.e. Performance Bike, Colorado Cyclist, Nashbar, etc. I have found that generally it comes out more expensive if you build a bike up from scratch though than if you had bought a comparable complete bike from the LBS.
I have built one of my bikes up completely from scratch however, and loved it, so depending on who you are, it might be worth it.