I usually do my design in a cad program such as Autodesk Inventor or even just plain autocad. You can then find a shop who does laser cutting of plastic and send them your part files.
It works great as long as you don't mind only flat pieces. The tolerance is very tight and you can choose from a wide range of plastics.
Online places such as pololu.com have a pretty good selection of materials, but I found the best way is to find a local shop to do the cutting. I found a local engraving shop to do all of my cutting for significantly less than online, got it in 2 days with no shipping.
I usually create all of my parts in Inventor with all nuts/bolts, spacers, washers, bearings etc. in the model, then just export the faces of the parts you need cut. When you get the parts back, as long as you were carefull with building the model, the real thing will bolt together perfectly.