I'm a big proponent of Etsy (already linked upthread), and that's not just because I'm a seller. I've been a buyer for a while now, and I have never been disappointed with an item I've purchased there. And I love how so many of the items available there are one-of-a-kind. If you want a list of sellers I like, I can gladly provide. :3
I had a pretty good experience with
Yarnzilla when I bought from them a year or two back. Knitpicks has been good to me, too. I love my Harmony needle set. I haven't gotten around to trying the yarn I bought yet. Too many projects.
I also like the independent crafters who have their own sites. I've been a big fan of
Hello Yarn since I bought my spindle kit from her. It's really hard to get her items when she updates, though. Very popular now.
Sunshine Yarns just moved to her own site. I really love the colors she produces, even if the one yarn I bought from her tended to pool every time I tried a project with it (but I haven't given up hope yet!). I've been eyeing up the semisolids for a while, but I am so overflowing with yarn, especially sock yarn.