Basically no problem, but normally you'll only get a few samples, so don't try to abuse this source to fill your tinkering crate.
Resistors, capacitors, etc. are dirt cheap even for hobbyists - don't waste your time.
On the subject of free samples, you can't beat Texas Instruments. They will give you 2 or 3 parts of anything (I have gotten $30 modules this way) and ship it overnight FedEx. That's right, fill out a web form for a sample request and get it delivered to your door the next morning! davorin, I don't know about inductor companies. They tend to be old and cranky :x