Currently, the best out of all of these sites appears to be KnitPicks. This may change in the future.
This list is being updated and will eventually include more information about each site as well as retail stores where you can purchase yarn (and their locations). My usage of "skein" typically means "per 50g" or "per 100yds", etc... Since there isn't really a standard method of distribution. Here's what I have so far:
$3.00/skein - "Traveling the world to bring you affordable knitting." Free shipping on orders over $45.
$5.00/skein - (Several different discounted prices)
$6.00/skein - "Exceptional hand-painted yarns and knitting accessories".
The Knitting Zone
$6.00/skein - (lowest price: $1.00/skein) - Closeout section with deals such as $1/skein.
$6.50/skein - $6.50 flat rate shipping, free shipping for orders over $100.
The Loopy Ewe
$6.75/skein - "Your online source for sock yarns, patterns and fun accessories". $6 flat rate shipping for orders under $75. Free shipping on orders $75+.
Bartlett Yarns, Inc.
$7.00/skein - Various custom yarns.
$7.00/skein - "We will be having a BIG SALE beginning Thursday October 11th. All items in stock will be on sale".
$7.50/skein ($3.85/2-oz ball) - Mainly a wholesale dealer (wholesale pricing for orders of 4+ cones).
$9.00/skein - "America's Yarn Store" Certain styles as low as $3.00/skein (e.g. Jo Sharp "Soho Summer DK" in Java)
Full Thread Ahead
$9.00/skein - Several products backordered, long wait times for shipping. $5 shipping flat rate.
$9.00/skein - 100% wool, several rarer yarns like "Un-Spun Icelandic: ...long-fibered fleece unique to Icelandic sheep produce the warmest wool we know of..."
VARIOUS - "Captivating yarns... Irresistable prices", "Bargain" section has "Full Bag Blowout" sales (1,000yds+) for $25 (and other varying prices).
VARIOUS - "Your place to buy & sell all things handmade", handspun yarn varying from $4.00-$9.00/skein. You can sell your projects here as well buy other people's.
VARIOUS - Variety of brands/styles, all discounted off retail pricing (avg discount: 40% off retail)
No longer active:
Joann Fabrics, Michael's, LYS ... (more coming)