It varies for me. I prefer to touch my yarn when I buy it, so I prefer to go to a LYS (www.kathys-kreations.com is my local store). But I will sometimes order online with WEBS (yarn.com), and I've also ordered through Ebay, particularly when I know exactly what I want or when what I want has been discontinued.
At the moment, though, I'm trying to knit through my stash.
The best way to try new yarns, though, is through one of KH's swaps. My swapper sent me some beautiful yarns which I had never tried before and I had a lot of fun playing with them. (:muah: MaryKz!)