Before we proceed to building the house, here is where you can get the different materials that will let you build and extend your home. Make sure to bookmark this guide for future reference.

NOTE: Make sure to check the chest next to the Drafting Table, as it gives you plenty of materials to start you off.

TIP: Your Steward can buy the materials for you. If you are a thane of some hold, than your housecarl is your steward. If you are not a thane, you can ask a follower to become a steward.

Clay - There are 30 clays in the chest near the Drafting Table. The rest you can get from Clay Veins found on your land. Mine clay veins for more clay. Check near the logs. (note: It's NOT near the water as it is in Minecraft)

Corundum Ingot - In starting chest. To get more, smelt from Corundum Ore, or buy from Blacksmith and general traders.

Glass - Try the vendors at the Dawnguard Sanctuary, or other general good vendors such as Lucas in Riverwood

Hinge - Created at an anvil

Horns - Check with general goods vendors, such as Lucas in the Riverwood Trader

Iron Fittings - Crafted at an anvil

Iron Ingot - There are six of them in In materials chest. To get more, smelt from Iron Ores, or purchase from Blacksmiths and general vendors.

Lock - Anvil (Craft)

Nails - Anvil (Craft)

Quarried Stone - Again, you start off with 30 pieces of Quarried Stone. When you need more, from where you build your house (front door), go right towards the rock face. There should be ample supplies of quarried stones surrounding the rock face. Check stone cliff.
Heljarchen Hall Stone Quarry: On the other side of where the anvil and the other crafting stations are, next to a pickaxe. Deposit looks a bit more silverish/grayish than the rest of the rock.

Sawn Logs - You start off with some Sawn Logs, you can get more by speaking to the traders at lumber mills. Try Hert, in the Half-Moon Mill north of Falkreath. Speak to the owners of the Lumber Mills. Try Hod in Riverwood or Temba in Ivarstead, or the Mill Owner in Morthal. Also try Brown patch of dirt near the stables.

Straw (Apiary, beds) - Straw can be bought from most general traders. Try the Riverwood general trader, North of Falkreath.