Walmart carries cotton dish cloth yarn in both small skeins and a bulk amount on cones. I think it's just easier to wind at the factory that way. Cones are bulky and a pain to tote around. I usually wind some of my cone yarn up into smaller balls when I'm doing dish cloths. Just easier to work with.
Wool and acrylic yarn that comes in cones are usually for putting on a spindle on a knitting machine. You can hand knit with them. I sometimes get good deals on them at thrift stores. But again, it's easier and more portable to wind them into balls.