My knitting motto is "Life is too short to knit with icky yarn." If I don't love the yarn before I knit something up, I most likely won't love the FO and all the time I spent knitting is tied up in something I am not thrilled to wear.
Having said that, I have found "just the right yarn" everywhere from Wal*Mart to exclusive boutiques. I agree with twoxover that it is important to support local yarn stores that support our craft. But there are fine on-line sources of yarn who support our craft too- look at all those who advertise here or have their own forums.
Finally, I knit a good bit (and my two knitting daughters raid my stash), so I don't think I could support my habit if I had to pay boutique prices for everything I worked up.