I don't know how many of you have thought to look, but here in eastern Ohio a lot of our dollar stores carry odd lots of what is often otherwise expensive yarn. I've scored Patons Lacette for a dollar a skein (it's lavenbder and I haven't found a project for it, but it'll come.) I've found the Lion Watercolor and Landscapes I used to make a couple of felted tote bags; that set me back $4.50 for three skeins. Today the Big Lots upriver had Caron Felt It in two colorways, some Caron...oooh, I can't remember the name, it's royal blue chenille with silver threads. That was also $1.50. Classic Elite is a dollar a skein. Everyone seems to have Lion Boucle for a dollar. If you actually want fun fur yarns, they're usually a dollar where they're not marked down further than that. Here are places I've found yarn:
Ollie's Bargain Outlet
I've heard several other discount chains get occasional shipments, so it never hurts to look!