I've bought a ton of yarn on e-bay. It helps to know the prices at your lys. If you can get it cheaper then e-bay makes no sense, of course. But I've gotten some fairly good deals. You should determine how much you want to bid with the addition of the shipping which can be kinda costly if you're buying a lot. I particularly liked oregon*trail*yarn. That's a member name and apparently a real shop. Very prompt and nice to deal with.
I have had my heart set on something only to see it bid out from me.
I'm not really big on walking malls/shops so any on-line experience is a boon.
You should be careful to read the descriptions to make sure you're getting full skeins/unused goods. I've noticed some private sellers bury the fact that the yarn was frogged in the descriptions. Frequently if I see something I like I go to the yarn company's website and look at the info on the yarn. Usually the stores put in the basic info like weight, yardage, fiber content, but private sellers sometimes overlook that. Also, it seems that people get yarn from estate/garage sales and then turn around and sell it. I'd be kinda careful with them. The yarn might be old (rotted) or discolored with age.
I've gotten some very good deals on yarn. At least I was pleased and ultimately, I guess that is all that really counts.
There's one seller that you'll see come up all the time. I think it must be a manufacturer and they sell on bolts/cones. I haven't bought anything from them, but the yarn looks kind of interesting.