There is Urban Yarns, Three Bags Full and Birkeland Brothers near downtown. Three Bags Full and Birkeland are about 6 blocks away from each other and Birkeland carries fibre as well as yarn.
If you have time to venture further, near the airport is Wool and Wicker.
Out a bit further where I live we have 88 Stitches and Knitopia. Knitopia also has fibre as well as yarn. If you have a car, just take HWY #1 east to 200th Street exit (about 1 hour out of downtown but worth the drive).