I know you mentioned finding a source outside of Henry's Attic - but I have to say, I went in on a very large order with an ebay buddy once...and got a damned good deal on a ton of yarn from there - much of which I am still skeining up and dying. It was a few years ago, so I am not sure if they have changed in pricing or wholesale ordering.
I do know that the cotton chenille sells really well for me (anything that resembles Colinette yarn sells well for me) both as skeined yarn and knit up as sweaters or scarves etc.
I am also a www.dharmatrading.com
fan for dyes and really trust them - I have not tried their yarn, however, I do think their shirts etc are way overpriced.
Just my 2 cents