Costumes shops.  This is the obvious starting point for ideas and a good place to finish up when you've run out of options when you're trying to bring things to life.  Since these are specialty stores, they have everything, although the cost is going to be somewhat higher than what you're used to paying if you're a DIYer.  And if you are the type to make your own costume, you're probably going to be particular anyway and not want to go with pre-packaged costumes.  However, if you're into more advanced things like horror make-up, then this is where you're going to get your best accessories.
 

On-line retailers.  If the shop(s) in your neighborhood don't do it for you, then you can always look to costume retailers on the web.  You can certainly browse those faster than physical stores, and you may find more interesting selections, depending on where you end up.  See my link page for some of the more interesting ones I've happened across.
 

Thrift stores.  Places like Goodwill and the Salvation Army usually have basic clothes for cheap, and these are often a good starting point.  However, they are also filled with unwanted articles and entire outfits that are just so weird they were never worn, and that makes them almost costumes unto themselves already.
 

Fabric stores.  Sometimes finding the right fabric or other material is enough to get the ball rolling when it comes to ideas.  Additionally, there are loads of patterns for costumes or other outfits that can be adapted.  Near Halloween, the major pattern companies (e.g., Simplicity, etc.) put out catalogs filled entirely with the latest choices, many of which are based off the popular (i.e., movie) characters of the moment.  For example, Dani and her mom made my Neo Reloaded costume from one of these.
 

eBay.  Frankly, if you know what you're looking for (or if you have the right combination of persistence and dumb luck), you really can't beat the world's biggest garage sale.  It's like a giant thrift store itself and is therefore a great source for used and/or unusual items as well as a retailer with all the latest props, etc.  Actually, this was where the sunglasses came from for the aforementioned Matrix costumes came from.
 

Craigslist.  The advantage of a locally-targeted marketplace is that things are within driving distance and the price is usually cheap.  Often you can find a "lot" of things for sale, for example, if someone is moving and wants to unload everything they've got all at once: decorations, costumes, etc.
 

Toy stores.  They're always a great source for cheap props like guns and swords and even hats, especially if you are looking more for kitsch value than authentic costuming.
 

Hot Topic.  Yeah, they're over-priced, but it's a good source for kids who dress like it's Halloween the other 364 days a year, so why not hit it any other time?  Where else are you going to find studded dog collars and fishnet stockings under the same roof?  Oh, yeah.  Any Saturday at midnight wherever Rocky Horror is playing.
 

Army surplus.  This is the obvious choice if you're doing a military-themed costume, but these stores are a good starting point for material for almost anything involving weapons, etc.
 

Hardware stores.  Parts and materials may be just what you need to get you thinking outside the box.  Unless you're dressing up as the Tin Man, you probably aren't thinking about sheet metal for your costume, but you can often find inspiration in raw materials like that or plumbing parts or duct work or... well, you get the picture.
 

Electronics retailers.  Places like Radio Shack offer basic components such as switches, battery holders, LEDs, etc. that can really dress up your costume.  If you have an aptitude in electronics, odds are you're going to end up here already, but if you have an idea in mind that's just out of reach, Halloween may be just the excuse you need to learn some new tricks (and treats).  Everyone knows Tron Guy, right?