you could always go to walmart, joanns, ac moore, michaels, hancocks, hobby lobby, and i'm sure there are more around that i don't know about. BUT, most of their cheap stuff is acrylic. i know a lot of people can't stand the stuff. i'm not too fond of most of it myself, but some of it is actually not too bad. it's all about the feel. if you don't like the way it feels in your fingers, you're DEFINITELY not going to like knitting a five foot scarf with it. michaels has just recently started carrying some of the nicer yarns like bamboo and really nice organic cotton. the other stores may have started carrying them too, but michaels is the only one i've been in recently. they feel really good and come in really nice colors, but they cost more and have smaller yardage. it's a give and take kind of thing. if you don't mind ordering online, knit picks
is (imo) the place to get, well, pretty much anything knitting related. the yarn is good quality and cheap, the needles are amaaazing and really cheap, they have great patterns, and right now all their books are 40% off. little knits
is also a great place for yarn. they have incredible sales constantly is really nice yarn. the only thing is i've been told there is a $25 minimum order but that they might be willing to "bend the rule" if you give them a call. i haven't been able to order from them yet (although i really want to) so i can't verify this personally.
hope this helps!!!
oh yeah. if you sign up for e-mail lists with the different online yarn shops, they will let you know about new specials and sales. knit picks is especially good about that (and they have cheap shipping!).