I'm not sure we have Hobby Lobby in this area or not, but based on the things I've heard about them I wouldn't shop there anyway. That said, this is just a variation of the classic bait-and-switch and it's probably not uncommon among the big chain stores, regardless of where you shop.
For that reason (among many others) I usually local. They're competitive with the larger outlets, generally have a wider selection (though they frequently don't have as much of any particular item) and, most importantly, they know their yarn. Which is definitely NOT guaranteed when you go to MegaCraft Superstore and get the part-time high schooler who may or may not not alpaca from a hole in the ground.
I'll also shop online -- but normally only for stuff that I'm already familiar with or that's been recommended by someone I know. The exception might be a yarn that's so inexpensive I won't care if it's horrid. If nothing else I can use it for practice/experimentation.
If you're in central NC (the Triangle area) I'll be happy to recommend some local places if you're interested. On line I've had good experiences with (in no particular order) http://yarn.com/, http://yarnmarket.com/, http://paradisefibers.com/ and http://royalyarns.com/.