Discount does have a selection of odd bits, they would be the first choice. (Washington Ave north of the Loop Area)
Otherwise it depends on the metal you want, steel and Iron there are a bunch of shops that go from large job industrial to hobbyist. (Most places will take a order for cash at the will call desk)
Then there are the Jewelry and other supply shops that have large markups but sell small sized bits just for this type of order.
Then there is the best of all IMO, Freecycle, Craigslist Free, etc. Found and reused items are a great source, but there are limits to supply.
So if the metal talks to you, or you want to tell the metal what to do... You have many options locally, but I think you need to give a better hint at what you want to do.