The Taipei Guang Hua electronics market is my alternative for visiting Shenzhen. Every time I go there for business, I usually return home with new inspiration and a bag of components "that I may need some day". Added benefit is that it does not break the bank.
There is something satisfying scanning all these racks full of electronic components, and finding that rare part that exactly fits your project.
I picked up many components for the Vinduino project here.

Definitely recommended if you have some time to spend in Taipei. Every taxi driver knows it, and from any location in Taipei it will take you 15 minutes max to get there.

If you take the MRT, the efficient underground transport system, you want to get off at MRT Zhongxiao Xinsheng Station.