My first amp was a 5E3 built with a kit sold by a now non-existent supplier in Australia. I think I have built a Deluxe Reverb from a Mojo kit too. Otherwise I just buy all the parts because I usually change bits around and like to use some non-stock transformers.
If I'm building a Marshall style amp I get almost everything from Valvestorm. For Fender style amps, which for me are usually tweed or brown, I use Mojotone for chassis and tag boards and usually Antique Electronics for everything else. AES have good prices and usually have everything in stock. I guess it's easier if you've already built a few amps to do it this way because there are a number of things which are easy to forget to order. Things like the various nuts and bolts, grommets, tooth washers, etc.
Transformers are the things that I don't get from Mojotone or AES as a rule. I'm not that impressed with Mojo's spec Heyboer transformers. Heyboer can make some fantastic transformers, but it all depends on who specs them. The Mojotone transformers sound a bit bland to me - they work perfectly well, and seemingly well built, but when I compare amps I've built with Mercury Magnetics transformers and Mojotones the Mercurys just sound better. I have absolutely no idea why that would be the case! So I usually end up using Mercury Magnetics. They're not necessarily better but they are excellent and make a great range of options which I haven't seen anywhere else. The best 5E3 I have ever built used a MM slightly lower B+ PT which allows the amp to bias better with the stock value bias resistor and sound amazing. Most current 5E3 PTs have the B+ too high.
I also recently fixed up an old 5F6-A Bassman for a friend and used a MM PT with a lower B+ and it still sounds like a Bassman but gives it up at lower volumes which he loves.
As a first build? I'd probably suggest kit because at least you know it will have all the bits you need and hopefully some instructions. I just wish kit suppliers wouldn't use Orange drops as coupling caps because they're ugly, can be huge, and can obscure other parts in the amp you would rather be able to see.
Oh, and for cabs just buy a table saw and make your own.