I see this question a lot on Steampunk forums. Partly the answer depends on how much you want to buy. If you're planning on starting an Etsy shop, or just want to have tons of bits, your local auctioneer may be a great place to start. They often have boxes of antique clocks, old machinery, tools etc. Just be sure to check out the kind of auction you're going to. Many auction houses list their upcoming auctions online, so check there first.
For smaller purchases, try estate and garage sales, try to imagine what's inside the items you're looking at, because the best (and cheapest) gears are often hidden away, and the owner may get upset if you go around smashing their antique clock collection open before buying them.
If you have a little more money, or you don't like the random nature of the above suggestions, try Etsy or Ebay. Things are more expensive there, but you can browse until you find the things you need.
Last, and cheapest of all, ask to poke around your parent's or grandparent's basement. Often they'll store things away for decades without any real plan for the items. You can find some amazing things to take home for the price of a little wheedling. They may even throw in a hot meal!
I love searching through this stuff, everything I find gives me ideas, and has me wishing I had more time and money to spend on crafting. If you've created something recently, or you'd like to share your own tips for finding parts, please comment.