Try eBay seller allesgute1638 if you are looking for ER series collets. I have not yet purchased anything from him, but a number of people that have are reporting a decent product at a decent price. His eBay shop is at this link:
http://stores.ebay.com/Alles-Gute-Shop?_trksid=p2047675.l2563 He also has some 5C collets available.
www.shars.com is another place that has quite a few different collets available, including ER, 5C, R8, and 3C. - They generally have a pretty good reputation among hobby machinists. They also have an eBay store called Discount Machine.
www.cdcotools.com Carries a good assortment of products, but there have been issues in the past with questionable quality and questionable customer service. He does carry the elusive MT2 and MT3 collets, however.
Naturally, there are the standard suppliers such as Enco, MSC, Travers Tool, etc. Your best bet is to shop around.
If you are in need of an adapter for your lathe spindle to fit 5C collets, your best bet may be to hunt a bit on eBay. You may be able to find a 5C adapter and a drawbar, ready to go, for a reasonable price.
If anyone is looking for 3AT collets, for smaller Logan and South Bend lathes, Travers Tool is about the only place I know of that carries them. They are similar to 3C collets, but there are some differences.