No matter where you are in the world there's probably an etsy yarn seller near you. If you don't know already, etsy.com is a website devoted to handmade goods where artisans have their own shops on-line. The products are probably slightly more pricey in comparison but they are beautiful and I always enjoy supporting handmade artisans. There are also a lot of knitters who sell their products there!
Here's some of my favourite yarn suppliers from Etsy:
wonderful sock yarns in lovely hues, plus blockers & patterns
for recycled, respun cotton yarn
hand-spun, hand-dyed, and spinning fibers - absolutely gorgeous shades
Bee's Knees Knitting:
hand-spun art yarns, spinning fiber/batts and hand knit/crochet accessories - the most vibrantly coloured.
I've not actually ordered yarn from any of these sellers but they all have reviews from customers you can check out. I keep putting off buying good yarn because I'm still a beginner and want to wait till I'm competent before spending money on good yarn!
Still I hope you enjoy the selection