I buy alot of yarn from ebay, needles too.
If you are buying any quantity then WEBS is a great site:
www.yarn.com
There is also a site that alot of people here have posted about
:
http://www.smileysyarns.com/
Their yarn seems very reasonable although they sell alot of acrylic and not so much wool. I have never bought anything from them.
Another place that has really good sales is :
www.littleknits.com