I order a lot of my yarns online as I do not have a local yarn store within an hour's drive. The company I order from most is probably yarn.com, Webs.
They have an amazing selection, awesome sales, and some of the best customer service I've encountered. The last package I ordered from them I asked to be sent using the least amount of plastic possible as per our No Plastic Challenge (even though the challenge hasn't "officially" started yet), and they did. Instead of sending it in a plastic, waterproof bag wrapped in plastic on the inside, they sent just the yarn and invoice in a cardboard box with minimal tape. How cool is that?
And when the package failed to arrive to me, I emailed them asking what was up and instead of getting some automated message about "standards say to wait yadayada days until we can file a lost form blah blah" I got back a personal message stating that they had checked the tracking number and delivery confirmation and the package had been delivered to my post office the week before (why the post office neglected to tell me this, I may never know).
So, if you are in the market for fabulous yarns at great prices and being able to choose from a huge selection, head on over to yarn.com. I promise you won't be disappointed :)
(if you click on the photos they will take you to the yarn shown ;))