For an air compressor, I got mine at Sears. They aren't all that expensive if you use it for other things too. A lot of different places carry them, Lowe's, Home Depot, Menards, Fleetfarm, ACME Tools. I think it would be better if you buy local so you can actually talk to the salesperson to learn as much as you can about it. I also had to call an electrician so I could get the correct wattage.
I get my pneumatics from Frightprops but, I know that ebay has some great deals. You can always write down the list of things you need for your prop off of other sites and then hunt for them indivdiually on ebay.
I also get my pneumatics from Frightprops. They are a little pricey sometimes but if you are not very familar with pneumatics you can buy pretty complete kits to get you going. As far as ACs go, if you are looking at a cheaper model I think they are all about the same. The bigger the better when it comes to ACs. If you can afford an oil filler AC, go that route. They run quieter then the other style.
Maybe start with a cheap compressor and move up. It will be louder than a better compressor (belt drive), but I think it's best to spread the money around. Get one with plenty of output, continuous duty if possible. You can add storage easily with portable tanks.
Harbor Freight and Northern Tool sell cheap stuff... from compressors to regulators to lots of other stuff.
Fright Props is good, but pricey. Good for stuff like mufflers, things you can't find easily.
McMaster Carr and Grainger for other parts
Home Depot and Lowes, of course!