Michaels is having a yarn sale this week - all yarn is on sale!!! Most of their stock is the "novelty" yarns, but they do have some Patons Classic Merino, Lion Brand Wool, and Patons SWS (soy wool stripes, yummy!). They also just started stocking an alpaca blend that is sooooo soft...mmm...
I'm not very fond of Hobby Lobby. Their Yarn Bee novelty stuff is the predominant choice, and it's really cheap-y. Some of it's okay, but they have very little "classic" wool yarns. If you check the clearance bins, they might have some WoolEase or Magic Stripes, though.
Joanns has some yarns, but not a lot. It's mostly Lion Brand and their store brand, which is a little pricey, IMHO. I haven't shopped there much, since there's only one in the city where I live.
Do you have a Hancock fabric store in your town? They have some Lion Brand yarns, and I've found that they're better about stocking the new LB yarns like Cashmere blend and Fettucini. Their prices are a bit higher, but they have periodic sales. That's the only place I've found Lion Cotton.
Wal-Mart has some yarn, as well, but it's mostly novelty, with some acrylics and a wool or two thrown in.