I'm a big fan of eBay. If you're careful about whose items you bid on, you'll have a safe, easy, great transaction. Not to mention you can get some AWESOME deals on yarn, needles and knitting accessories.
My personal favorite eBayer is Julia's Yarn. Good quality yarns at an even greater price. I love JY sock yarns. I've used Zania and Salvia. Zania is a bamboo/wool blend, Salvia is 100% merino. Both are quite soft and knit up awesomely. They offer bulk packages of yarn, so as an example, you could get 10 skeins of Salvia (one color) for $40, FREE SHIPPING. And they ship fast.
They also have a regular online store, if you don't like shopping on eBay. You can often find items in this store (especially for bulk purchases) that you can't find on eBay. If you sign up for their mailing list, they reguarly send coupons for sometimes up to 50% off purchases over $49.
Check them out. It's almost guaranteed that you'll find something you'll like. If you happen to buy something from them, please let them know that the wife of Brit Mckay (britmckay @ gmail dot com) sent you, as they have a referral point program. If you don't, that's fine too. No one will be the wiser! And hey, you'll still get awesome yarn.
Here are two projects I did, the first with Salvia, the second with Zania.