Hi there…The Knit Nook on Bardstown Road is a fun and friendly place…I like it a lot. (Probably because I live only a 10-min walk from there and I can get a quick yarn fix) A mother and daughter own it together, and there are lots of people hanging around knitting on Saturdays. They usually close at 6, but are open until 9 on Thursdays for a SnB. 
The only other yarn store I’ve been to in Louisville is Dee’s Craft store in the eastern part of town in St. Matthews…It’s off the Shelbyville Road exit on 264. This store has all kinds of crafty things, but it is more upscale than Micheals or Hobby Lobby. They have a great variety of yarns, from Caron Simply Soft all the way up to Debbie Bliss Pure Cashmere. The yarn lady who works in that dept isn’t as friendly as the Knit Nook people, though.
There are other yarn shops in town…I haven’t ventured out to them all. There is Sophie’s Fine Yarn Shoppe www.sophiesfineyarn.com
that is WAY out on the East end…like 15 miles from downtown. The website shows that they have nice yarn, though…I may have to make the trek out there someday. Another East End shop is Carma Needlecraft and Yarn.