A Grand Yarn is my favorite. So far I've not been to Holy Threads (because I always get lost along the way so I just go to A G Y), but a friend of mine really likes it there.
There's a place downtown that I'd strongly recommend you DON'T go to. It's called Allinda Knitting Boutique. The lady who works there is absolutely wonderful & extremely helpful, but I found the yarn dusty & dirty. If I go there it's usually only for patterns and/or needles. Since A G Y has it all, that's where I usually go.