I have only bought yarn online a couple of times - Knitpicks and WEBS. I think it helps if you have a color card! That way you can be more certain of the color (really hard online!) and texture. I got some Cascade wool yarn on sale at Webs, but there are no returns on sale items and the color wasn't exactly what I was expecting, so I ordered more in a different color (still on the way). I think the great savings is somewhat offset by the fact that I bought twice as much yarn! :teehee: I know I'll find a use for it, though.
Another thing that can be helpful is if you are a Ravelry member, search for the yarn and you can see different shots of the color in full garments, as well as read comments.
My tips are more related to avoiding problems with the yarn not being what you are expecting. If what you want to know is more customer-service oriented, that may not be much help! I have ordered lots of stuff from Knitpicks and they have EXCELLENT customer service. I haven't had any problems with WEBS so I don't know how helpful they are if you need it. I would say that from WEBS the standard shipping is kind of slow (maybe it's the holidays but I'm not convinced). But their prices are pretty unbelieveable. :happydance: