Look for Divemaster on here, PM him... he's got great deals from Happ and standard pricing with Ultimarc (but it saves on shipping if you plan to get Ultimarc and Happ, just get it from one place). Overall, just think everything through and get everything you want so you can save on shipping, vs. doing it piece mail. I got all of my stuff through him, minus the odds and ends. He's a good dude, especially when you're starting... he'll answer questions and give great suggestions, especially to first time builders... whereas, with Happ direct, it's just an online form and that's it... good luck getting a reply for a question you might have.
Or, you can find wholesale pricing at a Happ 'in-person' store, like the one in Vegas... for example, the marquee retainer retails online for $13 or so, in person... $6 for 10 feet of it. But obviously, not everyone's within driving distance of Vegas.
And also, I was pointed to
http://groovygamegear.com/webstore/ for the LED marquee light... haven't hooked it up yet but I know it's gonna be as great as everyone says... saves you the hassle of swapping bulbs every so often and it quietly feeds sips from your computer power supply.
As far as glass, I think most of us are using Lexan, it's more crack-resistant than Plexi, but get it from a place like OSH, where they'll cut it for you... if they break it, you're not out the money

Scoring it at home can be done but it's kind of a pain, especially with 3/8 or so. A lotta times, you can find perfectly good 'scrap' to build your CP from. And, when you order your marquee from Mamemarquees.com or Emdkay.net, they'll cut your Plexi or Lexan (respectively), sized for your art.