Hair - I'm a brunette and we just sprayed on black hair spray. It worked, but it did rub off on everything.
Headband with bow - Purchased from The Icing or a costume store.
Collar - First, I measured my head. I drew a shape for the collar about five inches wider on either side. I traced this onto posterboard and cut it out. I glued down black velvet around all the edges for no other reason than I liked the way it looked. This was attached to my corset with giant safety pins (my hair covered them).
Choker - Strip of black fabric with ribbon glued on the ends to tie it.
Corset - Simple black corset from Charlotte Russe.
Sleeves - Oh, the sleeves. They were a little tricky for me. You need blue and red velvet and ribbon (mine was black). For each sleeve, cut a rectangle of each fabric that is about 12" long by 5" tall (measure your upper arm to be sure though). Put the blue velvet on top of the red velvet and sew the longest edges together on the top and bottom. A sewing machine would make it easier, but I did it by hand. Lift the blue fabric up and cut about five 3.5" vertical slits. You want to see the red through the slits. You'll attach these to your arms with ribbon. If you want a more last solution, you could sew in a hem for elastic. But I only needed the sleeves to last for about 30 minutes, so I opted for lazy. Run a piece of ribbon through the bottom of the sleeve, between the blue and red fabric. Tie it around your upper arm. Then, grab a friend and have them stuff the sleeves with paper towels or something similar so that they pouf out nicely. Once they look okay, have your helper run another ribbon under the top and tie it securely around your arm.
Cincher - Blue straps and buckles were from JoAnn's Fabric. Pull them as tight as you can stand but remember that breathing is good.
Skirt - Just yellow satin-y fabric wrapped around and safety pinned at the top. I estimate it was about 1 yard. Fray the ends with scissors for a rougher look.
Shoes - Shiny red shoes were purchased at Payless.
Oh and don't forget the chains around the neck! You can use chunky chains from jewelry you have, buy them from a jewelry supply store, or look at the hardware store.
Have you guys done any Disney princess costumes that are different from the classics?