I use ebay frequently, the shipping prices are not high if you purchase multiple skeins. When a seller shows a shipping price for a skein of yarn they almost always offer discounted shipping on more than one item. So, if the shipping cost listed is $2.50 for a skein multiple skeins are usually just the additional cost of postage.
There are always those who want to get "a little more" but I have found many who only charge the actual cost of shipping. You just have to ask them before you bid what the shipping for "X" number of skeins would be.
I love littleknits.com as well as elan.com. Both have great sales and good service. Littleknits does charge a bit more for shipping (even more than most ebay sellers) but their customer service is exceptional.