I really enjoy having a few BJTs and a few MOSFETs around. If you are used to using them, building a very high gain amplifier with an offset to put it in the middle of your ADC range will always pay off. The number of times 1 cap, 2 resistors and a BJT replaced 4 op-amps with an entire range of components.
To make a list:
Resistors, the normal set you can get, I like to have 1 ohm through 10 Meg, but I have a lot of resistors, they never hurt.
Caps, the basic values, 1000pF, .1uF, 4.7uF, there are a few more, but you get the idea.
inductors, I honestly never have any, I only used them in projects specific to a professor assigning them(RFID).
BJTs, just get some cheap through hole ones, I would keep one that can handle pretty high current, and them some that are designed for the 100uA - 500mA range.
op-amps, there are many times where they help, comparator operation is my most common. I like rail-to-rail op-amps. There are many other things to look for, but for my use, rail-rail is the most important.
Some 5V and 3.3V linear regulators, it is nice to be able to step from a wall converter that is something around 9V to a usable range.
Heatsinks can be nice to have, especially for those linear regulators.
LEDs and Photodiodes, LEDs for debugging and so forth, photodiodes because you never know when you need to measure light(I like to have a few IR and some general visible light ones).
Flash, for example, this PDIP 1MB chip is a 1.34 a piece and can really improve the memory of your system. You can get a little larger for about the same if you do not mind a SOIC-16 package.
I know Flash memory seems a bit odd, but I have so many different projects where non-volatile memory helps, and often I just need more space, it meets both bills.
Hope this list helps.