I have a wonderful local yarn shop (LYS) nearby that stocks many nice yarn brands (Malabrigo, Koigu, Rowan, Madelinetosh, etc.). As for online shops, I found this indie-dyer who has a bunch of fandom-inspired yarns. They're so pretty and my stash is quickly growing due to her: Nerd Girl Yarns. :)
Oh dear, Nerd Girl Yarns just got my monthly discretionary budget. I like a LYS because you get to touch the yarn, but I love indie dyers like Blue Moon Fiber Arts and of course the people on ETSY. You do have to accept that it may be different than you think it will be if you buy online.