ahh sorry for the late reply... But I found this thread again.... woot.
Anyways, Aside from Walmart and Micheals there are 2 yarn shops on Ottawa street, (both like a block or so away from each other) I haven't been to either one yet, but I haven't had the chance or any cash to do so.
Info recieved from : Wool Works Ontario Yarn Shop List -great list for alllll the cities!
Knit One Purl One
1674 Ottawa Street
We have a large selection of designer yarns from Debbie Bliss, Noro, Naturally, Trendsetter, Sirdar, Elsebeth Lavold, and many more.
Prattes Knitting Boutique
1949 Ottawa Street
Windsor, ON N8Y 1R6
+1 (519) 256 4772
Owner: Marianne M. Prattes, B.A.
Don't let the name fool you, Marianne is an expert crocheter and has loads of information on crochet as well as knitting. Large selection of yarns and thread, patterns, books, pamphlets, hooks, needles and supplies. Prattes Knitting Boutique carries everything from exotic fibres to more common brands.