I second the Romni Wool recommendation. http://www.romniwools.com/
Queen West, just west of Bathurst.
There, I found the needle-felting basics, either on their counter or the wall behind it. Wool roving in the basement. The staff I've talked to there was knowledgeable and... FAIRLY patient... with helping out a felting newbie just getting started.
Prices must've gone up, though, since Onyxnox was there. The 10-pack of needles that I bought from them was $16. The roving was also $16 per 1/2 lb. I think the undyed roving was less, but I've apparently lost the tag from its bag.
Anyway, when I need more, I'll go back again.