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In Europe Velleman make some interesting kits, including some electronic tools that can be useful in subsequent projects (like a little scope).
Maplin sell a selection of kits in the UK, depends on the level you want.
Best is to look around the web for a project that you fancy and then follow the instructions - a lot of them have a parts list and can be built on strip board so you don't need to etch a board.
Arduino projects tend to limit the amount of electronics and use the micro controller to implement most things with little amounts of external electronics for drivers etc.