I don't have any LYS within 100 miles of where I live, so I am almost completely dependent on online shopping since the three craft stores here are geared almost completely to scrapbooking. (No, I still don't get it).
I love KnitPicks, and their catalogs. Their prices are very comparable even with shipping tacked on. However, I tend to try to go directly to the manufacturer of the yarn. Most of the websites I've been to allow you to buy directly from them, so you cut out a lot of the markup when you shop retail. Plus, you get good deals on patterns that way. Lyon Brand and Premier are fantastic at that sort of thing.
Knitting to keep my sanity. It's working... kinda...
OTN: Dr Watson's Cable Crew Neck
OTN: Writer's Cardigan