Hey there, welcome to the forum!

HDPE is a good place to start, easy to work with, especially with hand tools. I'd read up on the build diaries here to see what works and what doesn't work to give an idea as to what is being used by the roboteers around here at the moment.

As for places to source stuff, I find HobbyKing.com, Technobots.com and RobotShop.com the places I tend to go to get my bits and pieces though of course, there are others I am sure can recommend (along, of course, with parts being sold on here from time to time). As far as the easiest way to build a robot, plan your build, make sketches, sleep on the design, review and adjust until happy and then build is the way I do mine these days.

Hope this helps!