ebay.com (that was one of my best yarn purchases, actually--3 skeins of noro kureyon for less than $20, with s/h)
I only had very slight problems with one company (knitpicks.com) and that was only due to the fact that the color I received was not even close to the one I thought I was ordering. They're return policy is a little picky, so I just kept the yarn instead of going through all the trouble.
elann.com was absolutely wonderful. Very fast shipping, gorgeous yarn.
I love KnitPicks! It helps a lot that they have a lot of patterns and yarn that would go perfectly with it. I am currently only looking at free paterns but the selection is great and the yarn is greatly priced. I've looked at other sites but I feel extremely comfortable with the way the website is designed and the customer service. thats just my personal preference.