I've only bought online a few times, because I don't have a credit card. The few times I've done it, I used my hubby's card, or used a giftcard from one of my piano students.
(I've had bad experiences with credit cards and debit cards, so I just stay away from them.)
ANYWAY...sorry for the long story that had nothing to do with yarn.
I've gotten some lovely yarn from Knit Picks, and some great deals on eBay.
Other than that, all my yarn has been purchased at Michaels
, Hobby Lobby
, AC Moore
, and my local yarn shop, Cottage Yarn