Components bwahahahaha. They're scarce to find as well. Do you just need bullets/brass/primers/powder ? Or are you needing press parts (shell plates / dies) as well ?
You're in Lincoln, no ? No experience with any stores around that area.
Here in the Omaha area....
Guns Unlimited: 120th & I: primers, powders, factory new brass, expensive projectiles (hornady/winchester/etc). RCBS, Hornady, MEC presses. Hornady LNL AP parts. Hornady and RCBS dies. Some RCBS other stuff.
Cabella's: Some factory new brass, variety of bullets including cheapy (berry's) and expensive (hornady etc). Lee / Hornady / RCBS presses. Lee / Hornady / RCBS dies. Some Hornady LNL AP parts, RCBS shell holders. Misc other useful reloading stuff that's handy. They seem to be cutting down on primers and powder.
Scheels: A wide variety of stuff... but I've best labeled it as "wide selection but weird".
Across the river, Bass Pro Shop: I recall being somewhat disappointed in what they had.