E-Bay is a great place to buy all kinds of LEDs, particularly surface mount, superbright, etc.
All Electronics is a good place to buy various things (and a poor place to buy other things.) They have a reasonably good selection of 3mm and 5mm LEDs as well as panel-mount holders for them.
If you're just buying a few, though, Radio Shack's convenience could easily be worth their lousy prices if they've got what you want.