I love http://www.theknitter.com
The yarns are high quality( the sort you'd get at your LYS(Local Yarn Store)), but the prices are pretty reasonable. And my favorite thing is-- NO SHIPPING CHARGES! I really really hate paying shipping charges. They have some things I can't get at my LYS, like Regia Multi Effect sock yarn.
I wouldn't go with the Lion Brand online order-- I think they are terribly overpriced. I do like the Lion Brand yarns, but I'd go down to Hobby Lobby or some such and get them. Or maybe someone knows a discounted place to buy them online.