I've had the best luck with the Radioshack on Comm Ave @ BU. They have the best stock of sensors (Ping, PIR, and RFID) and components out of the ones I've gone to - according to a manager I talked to, its because of all the BU engineering students that go there. With that in mind the one in Central Square is rather desolate even with MIT so close, something I found quite surprising. Neither Radioshack or You-Do-It stock 0.1" female headers, which I seemingly never have enough of when I'm working on a project.
I've become quite the fan of the Jameco catalog as of late, definitely worth dealing with for the selection/price if you have the time to deal with mail-order.