Parts

Adafruit and Sparkfun are both great stores that have a lot of things you might need.
Mouser is one of the major worldwide component warehouses and has kind of everything but it can be hard to find.

𝕋𝕙𝕖 𝔹𝕒𝕕 𝕊𝕚𝕥𝕖 might have this stuff too but I try to avoid it as best I can, especially when adafruit has done so much for the Arduino community.

Here are some parts mentioned in class:
8x8 LED grid. I did a whole session on using these things. See the code here.
It can be powered by USB as long as you don't go crazy bright. Otherwise you'll need a separate 5V supply like this.

Flex sensor

Whammy pedal enclosure. Sure why not.

Let me know what other parts you're interested in!