I buy my blades from either Artcraftersonline.com or Qtena.com. I only use Pegas blades.
I buy most of my wood from Cherokee Wood Products because they specialize in scroll saw thin wood, they are close enough that I can drive to them, Chris who runs their online site is a great guy and I have found their pricing to be great. They will also do custom milling when needed.
For everything else, it's either H/D or Amazon. Maybe Lowes.