For the UK, www.hannants.co.uk is probably the biggest for planes and AFVs. They have a massive range, despatch quickly when stuff is in stock, have knowledgable staff, and often turn up with a stall at big airshows.
My only gripe is that they stock almost no aftermarket auto stuff.
oh, and nicholma, I think you just cost me a lot of money with that last link [:0]