Basic camping pads are available in many stores, from sports stores over hardware stores to sometimes supermarkets. Go for the simple stuff rather than fancy highly textured versions - more texture means less glueing surface. This is good if you're only making a few swords.
The black rubbery camping pads (Gorilla brand, for one) feels very nice at first, but breaks down over about a year of regular use and is thus not worth the cost.
Commercial packing foam (Stratocell) is easier to use if you can get it and you're making many weapons. Wetropa MST in Feldkirchen sells it, primarily to businesses, but has been kind enough to let me buy sheets and pick them up on location. Stratocell S is good for shields, sells at €90+MwSt for a 200x120x5 cm sheet, while Stratocell S Plus has the extra "skin" that makes for a good sword surface, but costs €110+MwSt per sheet. If you want your sheets delivered, you could also contact SealedAir directly.
The Bavarian company Pana Schaumstoff makes a decent close-cell, a little more fragile than what Edhellen uses, and without "skin". They used to have a factory sale, but that disappeared after a merger. This foam is useful for shields, doesn't last that long for swords.
Schaumstoff Fischer has some PE-E, but it's too fragile, but their black PE can be useful as an inner, durable core, with softer foam on the striking surfaces.
Untried foam sources
The Swedish company National Gummi makes a number of different kinds. The PE PZ 45 is recommended by the Drachenfest group. We haven't tested this yet.
British company Evazote has a slightly softer foam Evazote PE Evazote 50 also used by Drachenfest. We haven't tested this either.
Further foam places to be contacted (from searches for "schaumstoff geschlossenporig):
Some places that have foam with "skin" (like Edhellen uses, should make it more durable), from searches for "Schaumstoff mit Schäumhaut":
Open cell foam for arrows and javelins is available in any foam store or just from a cheap mattress.
The regular tubes used for spears are from Bandshoppe, but obviously would incur a hefty shipping price. The equivalent German terms seem to be GFK Fahnenmaste, but we have yet to find a good source for them.
Bauhaus sells some 26mm pipes in their water installation department that seems good at first, but the subtle aluminium covering means they keep they shape when bent.
One can use bamboo, but it has to be fully covered in tape to prevent splintering.
The company Fränkische makes a wide variety of PVC tubes, some might be solid enough for flails or spears.
Arrows and related bits
TDH Bogensport in Westend has a good selection, and can also restring bows, add nocks and feathers, etc. They have somewhat expensive bows on display, but their catalog has many nice period or period-ish bows for ~€100.
Modular arrowheads are available from the US sellers and are easy to transport/ship, then any regular bow shop can support the shaft.
Rope and string
A lot of rope found in hardware stores is polyester, not very pleasant for handles. Bauhaus has a decent selection of nicer ropes in their sailing section. 8mm rope makes for a good handle, can be alternated with 6mm. 6mm is also good for stringing rope.
Stringing rope (for closing shield covers) can be just about any kind of rope. It can be worth it to split a thicker rope if you're making several shields.
The standard Tesa duct tape does not stick that well to foam. They have an extra-strength variety that's somewhat better. Gorilla brand tape is good quality, but only available online.
Cloth tape is mainly used for ice hockey, and can be found at a reasonable price at some skating rinks or online.
The Pattex Kraftkleber available in hardware stores is decent, and particularly good for larger surfaces like shields. There is a gel version which is less messy but dries out if left to stand after use, we don't tend to use that. Definitely don't use the transparent version.
Adding some weight to the handle or pommel makes the sword easier to swing. Lead strips are one option. There are also small iron blocks available that come with a taped side, those are quite handy and makes for a nice oblong handle shape, too.
Available in all manner of places. Karstadt has a good selection, and medieval festivals also frequently has some.
Trimmings (buttons, fasteners, ribbon, etc)
Available in many places.
Good-looking though somewhat heavy, chain mail is a favorite armor, not least because it still allows the body to breathe. These instructables will help making it easier to make your own:
http://www.instructables.com/id/Ye-Olde-Chain-Maille-Rings/ - how to wind rings quickly and evenly.
http://www.instructables.com/id/European-4-in-1-maille-chainmail-speedweaving/ - how to weave simple 4-in-1 (they don't show it here, but it's easier to make a lot of 4-in-1's first, then make the chains by combining those)
http://www.instructables.com/id/How-to-make-a-chainmail-shirt/ - shows the design of a basic shirt
http://www.instructables.com/id/EUROPEAN-6-IN-1-CHAIN-MAIL-BEGINNERS-GUIDE/ - harder to make, but much more solid 6-in-1 mail
http://www.instructables.com/id/Riveted-Maille-from-Scratch/ - for the serious chain-mailer: Riveted mail!
For shield fastening that can later be adjusted, use T-nuts, available in any hardware store.
For punch shields, handles can be either plain broom sticks with a hole cut in the shield back, or a handle mounted on the back. The best handle known to mankind is the Stanley No4 7-7/8", which unfortunately is not available in Europe.
Leather is available from a number of places, but armor-grade leather (4.8 mm +) is somewhat rare, don't expect to see it lying around in most shops.
For straps for a strap shield, regular leather belts work well. Make sure they're all leather rather than leather-covered cardboard. Some leather shops sell ready-made real leather straps, or may make them for you.