You can get some stuff from Tandy/Radio Shack (such as Soldering irons/solder wire etc.) but for actual electronic components you're better off trying somwhere like
Maplin or RadioSpares
Also check your phone book for local hobbyist electronic shops, the components you need are fairly common; so most should carry them.
For more details on JAMMA finger boards click here
General arcade stuff
You can find a lot of useful stuff here