where I like to go to buy yarn online.. Here was my reply - a kind of informal review of some of my favorite sites.
Depends on what I'm making and how I can pay. I have a good LYS, so for workhorse worsted, I just go to her, and buy online the things she doesn't carry.
Usually all I have is paypal, so I go with elann.com for my luxury fingering weights (they make a nice fingering yarn, I really like the baby silk). It's really good stuff for quality-looking jackets and tops, it looks like it'd cost a fortune in the store :) And they often have discounts on other brand yarns.
If I want a good DK or a pure wool fingering weight , I have to either acquire a credit card or send a money order for KnitPicks (I really like their Merino Style DK, and for stranded colorwork their Palette is awesome, it forms a nice solid fabric). KnitPicks has some good laceweights too, but they tend to be on the thinner side even for laceweights, except for their Bare (undyed) merino laceweight, which has good bounce to it. I really like their Bare laceweight, it makes a soft, fluffy fabric with good stitch definition and enough weight that you don't have to worry about a stray breeze carrying away your scarf :) Plus it's super cheap, so it's also a good practice lace yarn if you're not used to working that thin, and it grafts well.
If I'm wanting something quick and cheap, but still colorful and fun, I go for handpaintedyarn.com, they've got a good singles laceweight that's on the thicker side, and 900+ yards for $6 is a helluva deal. Everyone loves a $6 shawl, right? They've got great colors, but be sure and wash the yarn and/or finished item in a good wool wash since a lot of color will bleed (thought it doesn't appear to actually change the color of the yarn?) when you do. Still, they're fast to ship and have great customer service; I had two hanks of yellow that didn't quite match even though they were the same dyelot, I emailed the company to ask if they had more I could buy and hope to match up, they sent me an extra hank for free, and followed up to see that it matched at least one of the ones I already had (it did). The colors aren't always how they look on the pictures, but I bet you could email and ask ahead of time if you're all that worried about it, and for $6 a ball I'm willing to allow some wiggle room. Since they are singles yarns, they are a little fuzzier a than a two-ply would be, but it evens out into a homey sort of halo and it's easy to graft (though if you're spit-grafting on your jeans, remember the dye will run). I made an Icarus shawl with one skein of theirs, and I love it. Also, their yarns are handspun by a women's cooperative in Uruguay, so there's good work being done there.
If I want a larger amount of laceweights (can you tell I buy mostly laceweights?) in a flat-out luxury fiber, I go to colourmart.com or ebay seller colourmarkuk (same folks). They have good cashmere and silk yarns at good prices; they're mill-ends so they might be on a few smaller cones, but they'll wind multiple plies for you for free if you want a thicker yarn, or twist them into a balanced yarn for a little extra. This is especially great with their 2/28 laceweighs (that's two ply, 28 meters per gram of the single ply, so 14 meters/gram of the two ply - trust me, it's a very tiny yarn) that will drive you nuts while you're working with them (my size 3 needles are too big for this yarn. Time to make a shawl on sock needles!) but for a finished project they are absolutely stunning. It can be hard finding a color you want, but $16 for 2000+ yards of pure silk is worth it in my book. I haven't tested them for colorfastness yet, but be aware their cashmere yarns still have spinning oil on them - this makes them stronger and a little stiffer while you're knitting with them, which I like personally, but some folks don't care for it. Either way, it washes right out, and then it's soft as a cloud. You will want to pet the cone.
There are a couple of other good places, if I can remember where they are. Etsy often has great deals, I know I get great undyed yarns from a seller called StickChick, $20 for 2200 yards laceweight alpaca, and she's really good about answering questions and even putting stuff aside and special ordering (at least for me she did, anyway; I needed 2000 more yards of her natural tussah silk yarn for a shawl and she was able to get it to me within two weeks, including the time it took for shipping and for my check to clear). Aim for $1.00 per 100 yards if you can for laceweight, and you're getting a good deal. Etsy has a lot of other sellers, lots of hand-dyed, handspun, handpainted, and otherwise handled yarns. ChewySpaghetti reserved a green lace yarn for me, she's a bit pricier than I normally go but the fiber content and the colors were worth it. Don't be afraid to ask people for extra pictures, Etsy is full of nice people and often they'll oblige :)
As far as specific brands go, FleeceArtist is one of my personal favorites. It's not as good of a deal yardage-wise, even with what I get, which is the handmaiden angel hair yarn, 800 yards for about $22-$25, but since it's mohair you can use a bigger gague so it kinda evens out. Their colors are awesome. You can't even imagine until you see them in person, the way the light plays on it is truly spectacular! There are a couple of places to get that, mostly I do ebay, and if I want a solid color mohair I do the louet brand kid mohair/nylon blend. That's like $5 for 500-ish yards, so it's cheaper than kidsilk haze and can substitute for it. Hell, the FleeceArtist is cheaper than kidsilk haze, though, so I'm not sure if that's saying much.
Anyway, if you have any other questions, feel free to drop me a line any time :)