I think the best place to try for good quality, affordable yarn is Knitpicks.com. There is a link to KP website from here - usually at the top of the forum listings.
One other option is to take an "exploratory" trip to a LYS near you, so you can actually feel different fibers, combinations, yarn weights, etc. I suggest you leave your credit card home the first time you go though, LOL :rofl: . It CAN be very addicting!!
Happy Shopping!! :happydance: