My personal recommendations are:
H Foster (www.hfoster.co.uk) for palm oil, shea butter, coconut oil.
Larger Tescos for coconut oil (250g or 500g, brand KTC). They don't usually have it in small Tescos but you can get it delivered.
Any supermarket for lard (e.g. Asda 39p for 250g) Great / cheap substitute for palm oil if you don't mind animal fats
Lye (Sodium hydroxide / caustic soda) from B&Q or Wilkos.
Silkmagik (www.silkmagik.co.uk) for essential oils and fragrance oils - she does a wonderful 5 bottle "pot luck" selection totalling 105ml for £9.99.
There are wooden soap moulds on eBay starting from £7.99 inc P&P.