Hey FeLo
I'm a puppet fan here in the uk, i've made a few puppets too. When i first became interested in building i got a great deal of info from these boards to guide me on my way.
i've used Pentonville Rubber for my foam supplies. It's located in central london and is one of the only places i've found to buy sheets of reticulated foam, it's best to call ahead to ensure that they have some foam in stock, if not they'll get it in for you.
Reticulated faom (sometimes called scott foam) is the stuff you'll most likely want to use to create the structure of your puppet. The shape of the head/body. The foam is sold in sheets which you cut and glue to give you the puppets shape. This foam doesn't tear or fall appart like standard upholstery foam, it's a bit more expensive than upholstery foam but if you want your puppet to last longer it's worth the slightly higher cost.
You cover your foam figure with it's skin of fleece/fur or whatever fabric you prefur. You can goto any large fabric store and find plenty of options. Antron flecce is the professional choice, this is what many of the muppets (like Kermit) are covered with. There's no supplier of this in the uk to my knowledge so i got a couple of meters shipped from GAstage in the US. you'll find details on the boards. It comes white and you dye it to your prefured colour. It's not inexpensive so i only use it on the parts of the puppet that will be on view.
Most other puppet supplies are just waiting to be discovered. look around your local craft shop, model building stores, DIY shops, deparment stores (the kitchen departments are good) Toy store and even Pound shops. It's all a mater of seeing things that are sold as one thing that you can use for something else. Fishing floats, spoons, plastic balls areosol plastic lids make good eyes, nose and so on....
I'm still kinda new at the art of puppet making too so it's a real learning curve, build the best you can and each time you build you'll learn more and get better.
Happy Buliding
P