So far, I've done:
ebay.com (that was one of my best yarn purchases, actually--3 skeins of noro kureyon for less than $20, with s/h)
I only had very slight problems with one company (knitpicks.com) and that was only due to the fact that the color I received was not even close to the one I thought I was ordering. They're return policy is a little picky, so I just kept the yarn instead of going through all the trouble.
elann.com was absolutely wonderful. Very fast shipping, gorgeous yarn.