For Canadian stores there are Elann and Ramwools, I also ordered from wool-tyme: http://www.wool-tyme.com/ and yarn forward: http://yarnforward.com/ca/index.html (both based in Ottawa I think).
Be careful about US stores that ship internationally. The shipping costs can be really high. It's also in US dollars, and your credit card won't give you the best exchange rate. Also, customs can be an issue and you could have to pay taxes. In the end, based on many calculations I made, it's rarely a deal to buy from a US online store unless they ship from Canada and have very low prices. knitpicks is an example http://www.knitpicks.com/ It could be a deal depending on what you buy.