I don't necesarily recommend expensive audiophile parts. But I do strongly suggest these criteria be met:

1. Caps under 1uF should be polypropylene film, metal foil caps. They don't cost much, so there's no point in getting a less optimal part.

2. Caps over 1uf can be metalized polypropylene film instead. It's hard to find large film/foil caps, and one would pretty much have to use an expensive brand to get a film/foil much larger than 1uF. I'd prefer film/foil, but not for 30 bucks as opposed to a buck and a half.

3. If you need a huge cap, build it with parallel values of a smaller one. Don't go electrolytic.

4. Coils should be air core, unless large enough that resistance grows above 1/2 ohm or so.

5. Resistors should always be non-inductive and not wirewound. Wirewound resistors (obviously) have an inductive component. I mean to say that they are partially inductive devices, rather than being purely resistive.

Jerrod's suggestion of www.PartsExpress.com is a good one. All of the items I've just mentioned can be found there.