What about the yarn you order from the Internet? That's really hardcore.
Two notes: Hobby Lobby has a yarn called Caron Felt-It. It's a non-plied wool yarn in variegated colors (I don't think I saw any solids, but I'm not sure about that). You don't get as much yardage as Classic Merino or Lion Wool, though it may be better for felting. (I have a front-load washer and haven't felted anything, so don't quote me on that.)
Also, the Michaels near my home has Classic Merino for $4.99 regularly. I've found that among Hobby Lobby, Joanns, Michaels, and Hancock Fabrics, Michaels has the best selection of non-novelty yarn. (Although I am going back to Hancocks, probably tomorrow, and raiding their clearance yarn!)