For the small motors and LEDs, there are several small electronics places that cater to small orders. All Electronics is the first that comes to mind. Google electronics parts. Jameco is another, but their catalog is huge and a bit hard to find things in.
For other things, check out the model railroad section of your hobby shop. All train layouts are kind of dioramas. Things like grass, gravel, light poles, fencing, trees, etc., etc.
I have been thinking of a diorama with sound. What I plan to use is a small, cheap MP3 player with recorded sound, and about a one watt amplifier small board to drive a small speaker.