I have got some really great yarn on ebay. I've also ordered from KnitPicks and one other shop that has low-priced Noro Kureyon, which is just the most fabulous yarn. (Haven't got the Noro yet as it backordered but Hidegarde recommened a place with the lowest prices: http://www.woolneedlework.com/index.html
I like really nice yarn. I was a little disappointed with the Knit Picks as it's very ordinary yarn, quite thin, but good prices. I've been finding I love the homespun and thicker, interesting yarn that I can find on ebay. I would recommend yarns esp from Maine... but take a look at Handspun, Handpainted yarn in Ebay and you'll see some really fantastic stuff. I also just got some beautiful Tahki Donegal Tweed from ebay.
Of course it depends on what you want to knit. I've always been disappointed with Walmart because they won't carry pure wool but yesterday of all things, I discover this fabulous all cotton yarn
Peaches and Cream. I went nuts over it, since it's summer time projects, and got a bunch of beautiful colors to make some small bags and tops.
Good luck! Oh, isn't there a big wool fair in North Carolina this spring or summer? That's where I got turned on to handspun yarn, last October at a wool & sheep fair in Rhinebeck, New York. Wow, it's a great place to 'feel' the wool and find fantastic stuff.