All of the above plus Janette's Rare Yarns, which is in England but is worth the postage for US buyers because of her excellent discounts on premium European yarns (Rowan, Jaeger, etc.). Her service is friendly and personal and shipping is fast.
Another good word for Ewe-phoria, in Pocahontas, Iowa (I love saying that). Leslie has an eBay store as well as her regular online shop, and stocks Philosopher's Wool, Noro and lots of other good yarn.
Elann.com has so many good things going for it. They sell fashionable high end yarn at deep discounts (and will send you emails in advance of sales) but they also have a large and growing number of basic yarns sold under their own brand name. The prices on these are spectacular. If you're someone who wants to feel the yarn before buying, they have two sampling plans. One send you snips of their yarns at regular intervals; the other sends small skeins so you can test their knitting qualities.