I discovered a new online yarn shop today, completely by accident. I had gone on ebay and was looking around at the yarns available on there, and saw a brand that I didn't recognize. When I looked up the company it turned out that they had an online store, and they actually had really good prices! They are a wholesale company, so you have to buy a minimum order, but that's really not such a bad thing when most of my patterns require two or three skeins of the same color.
Check them out here: Ice Yarns