I love Lion Brand yarn. I don't care what people say about it. It is soft, easy to work with and looks nice. I have "splurged" and bought some expensive yarn for specific projects, but for the most part I buy from craft stores and even then I look at the clearence section & the sales. There are often REALLY great deals out there & I wait for them.
WEBs has a clearance section on their website where they sell the expensive yarns for cheap too.