The Yarn Garden is nice. They have lots of little rooms, with a ton of yarn in all kinds of different varieties. Including some interesting stuff you might not find elsewhere.
I haven't been there, but Abundant Yarn and Dyeworks
is supposed to be really great too. I've purchased some yarn from them at the OFF this summer but haven't made it to the store.
All About Yarn
is on the West side. Supposed to be nice but I haven't ever been there.
If I knew what area in town you'd be in, it would be easier to tell you what might be closest.