I figured I should post this before I leave Korea, so anybody who is searching for info about buying yarn in Korea can find it. There seem to be only a couple of places to buy yarn in Seoul.
The Hoehyeon Underground Market near Myeong-Dong station has a few shops, and Wal-Mart carries a few skeins (we're talking three or four only) plus a selection of plastic knitting needles + sewing tools from Germany.
By far, the best place to shop is in DongDaeMun Market, the sprawling wholesale market for garments, bags, and everything, near the subway station of the same name. The wool market is in the basement of the blah-looking Dongdaemun Market Shopping Complex building. The market is mostly geared toward garment industry buyers... there's a lot of selection, but many of the shops in the market won't sell individual skeins.
But what you really want to see are the pictures! Right?