The only places to really find the "good stuff" is at a yarn shop or on line. LionBrand has some decent yarns--not Homespun--and Paton's does, as well.
My Walmart only carries the very cheap acrylic and my JoAnns is mostly fabric; but lots of people here have had good luck finding yarns at JoAnn.
Many people only have access to the yarns available in craft-type stores, and they do carry some decent stuff. The best judge is you. Reach in and squeeze, rub it on your neck, and see if you like it. You do get what you pay for, generally, though.