It's been over a year since I started looking for parts for a project I'm working on. PSC STILL hasn't got their locomotive catalog ready and I'm not about to order what could be a couple of hundred dollars worth of parts without at least seeing what they look like and verifying they're what I need. Having a copy of the catalog in front of you is the way to do it, it's not the same as talking to someone on the phone or quickly checking checking someone's copy.
In the interim, I've been ordering parts from Bob Stevenson at SPL, he has photos online and ships quickly.
OTOH, I have had success ordering parts from Atlas. I found the correct 10-foot doors for my SAL double-door boxcar project and managed to get a couple of nice brass single-chime whistles (from their USRA 0-6-0) for locomotives that didn't have a whistle. Here's their link:
http://www.atlaso.com/parts.htm
We don't get many/any O-scale shows down this way (or shows at all, maybe 2/yr) and it's almost impossible for me to travel far to a show (wife's health prevents it). I can only hope there are O-scale vendors at shows like Greenbergs or the local NMRA annual show, but most of the time it's a crap-shoot.
The other issue is decals. If you model an unpopular RR such as the Seaboard Air Line then you have to search out someone who can/will make them for you. I recently got Jerry Glow to make some decals for my SAL double-door boxcar and I hope to have them next week:
http://home.comcast.net/%7Ejerryglow/decals.html
(you'll have to look under "full list" and go to SAL)
They're $30 a set, but if you're just dying to do something like this then you must pay the price. Some decal guys won't touch anything but HO or N.