I live in Southington, and am a fairly novice knitter. I usually go to Creative Fibers in South Windsor, although I've been to the Wool Connection, Mystic Yarns, the place in Southbury, and several others around the state.
For a nice day trip (drive up for lunch and shopping), hubby and I drive up to Webs in Northampton, MA.
ACMoore is close by too, but their selection is mostly acrylic, or wool-acrylic blends. I do tend to be attracted to more expensive yarns, such as Colinette.