Cornell doesn't provide much in the way of an electronics stockroom, but there is one resource. Bill Mutch in 120 Phillips Hall maintains a limited stock of components for classroom use, particularly for EE 215 and EE 315. If you are a TA, or are doing a project for a class or professor, parts may be purchased with a charge number. It seems to be impossible to pay cash or to use a student account though, so if you tinker with electronics on your own, you're out of luck here. An excellent range of resistors and capacitors is available, along with basic digital logic, a few transistors and op amps, and an array of wire and cable.
If you want to get EE components for a personal project, or if you need something not carried in Phillips 301, you'll probably need to go to a local store. Rad-Tronics at 1005 N. Cayuga St. (273-8026) is a good bet. While the shop is little more than a garage and business hours are limited, the stock is phenomenal and the owner, Tito, is a character to match. For true-blooded electronics hackers, a visit there is not to be missed.