http://www.mpja.com carries bulk red, green and yellow(3mm and 5mm).
superbrightleds.com or a led surplus site
Probably still on the net. Google for it. Use search words like "cheap led" "surplus led" etc. Compare prices. Where I bought them yesterday may not be the cheapest today. I've see huge bags of them for a few dollars before.
I highly recommend all-electronics. They sell on ebay, but they also have a web store front. Cheapest stuff you'll find out there.