Jax, like Clark I mooch around spotlight and a few haberdasheries and the like. One of the best purchases i made was to buy bulk 'clown hair' from a site that Ted c put me onto:
http://www.doctoredlocks.com/store/kk_jumbo.html
This stuff is way cheaper to use than individual hanks of slinky fibre, sure the properties aren't quite the same but I really doubt that the fish care. Some of the guys on the forums combine orders to overseas sites to bring shipping down also, which can help the cashflow. I compare prices before I order, for example I buy some sizes of hooks from swf.com but find that larger sizes of the same hook can be less expensive to bring in from places like flyworld.com. (I don't stint on hook quality ever). I keep my eyes open for bits and pieces that can be used as more generic copies of materials but in some instances such as with prismatic eyes it's far easier to buy them from a fishing store or online. Some materials like siliskin are just horribly expensive no matter where you look, so i try hard not to screw up when using stuff like that. I also have made good friends with guys in tackle stores and while rummaging through their stuff ask if they are biffing anything out. I scored a heap of estaz (sp?) that way, and every little bit helps.
I found the hardest thing actually was to figure out a list of basic materials that would get me started - as a consequence I have stuff in my kit that i bought but never used.