LED Flashlights. This is THE PLACE to get them, especially with the 20% off coupons that float around. Also if you're in need of specialty car and crafting tools and don't want to pay out the nose for them this is where you go. Case in point: Brake tools. I bought a 3 piece set for $11 here, Autozone and PepBoys across the parking lot wanted double that for their tools and they only had 2 tools in their set. Another example: You can pick up a starter airbrush for dirt cheap to practice with until you get good and decide it's time to go with pro gear.
Harbor Freight is one of my main Burning Man supply points as they have everything from Arbor Presses to powder coating guns to Dremel bits and Sawzall blades for cheap. Tarps, rope, you name it, chances are they have it. I've bought from Harbor Freight for years, the secret is to go online and read the reviews on the specialty tools to know if you're getting a good deal or not. Chances are it's a good deal though. And their air tools have been a godsend!
4 Strong Stars. My debit card knows this place a little too well. Sign up for their special offers and coupons and check your weekly mail ad inserts as that's where I get my 20% off coupons. They also have a program you can sign up for and get special deals, invites to sidewalk sales and other perks but even without that you can still save serious cash shopping here.