McMaster Carr is probably your best bet for heat shrink, or for that matter any fabrication material that would be useful, from 1095 spring steel, to screws and nuts to build a plug spinner, etc. Their delivery is fast, though prices are high on small items...
http://www.mcmaster.com/
Also, try American Science and Surplus, where they usually have assortments of shrink tubing for a few dollars. AS&S is sort of like mcmaster carrs's crazy uncle, with good prices and a mix of useful and weird items. Nice people work there too, as a added bonus when compared to the big suppliers which are slightly less personable than the IRS.
http://www.sciplus.com
Probably everyone knows this, but you don't have to just put shrink tubing on bare metal and call it good, you can pack stuff in it for cushioning, or double layer it by shrinking one layer, and then installing a layer on top of it.