I love both Webs (yarn.com) and KnitPicks.com. KnitPicks has their own line of really inexpensive, natural fiber yarns, and I've always been really happy with my purchases from them. They also sell some great knitting needles. My only beef is that their standard shipping takes a long time (a couple of weeks). But for substituting yarns (when you can't afford to get a bunch of $10 balls for a sweater), they're my favorite.
Webs has the yarns you'll see in patterns (Berroco, Debbie Bliss, etc.) and I shop their sales, which are GREAT.
Hope you like these.