Some sites however are places to get some absolute bargains from, even better they're all UK based, which is a common trouble I ran in to. So many places have links to lovely stuff, but it's all in the USA.
1) New Lanark
I can't quite believe how little they're charging for their wool. a 100g ball of DK weight costs just £1... I'm making my whole honeycomb vest in it for less than £8 including postage....
2) Get Knitted
This place isn't the cheapest, but they are the only place to stock the knit picks needles in the UK. I love their needles, in fact I have just used by Grandads"congratulattions n getting a job" money to buy the interchangable set. I've also just bought this . Who could refuse colours like this.


3)No post about yarn could be complete without a link to the Yarn Yard.
All of Natalies stuff is hand dyed and really reasonably priced. I love the feel of her sock yarn, and have just bought some yarn to use in my first shawl to take part in Seasons of Lace.
4)Finally is a Texere Yarns where I've not yet got my order from, but the prices are ridiculous. I've just bought some Alpaca for £3.30 per 50g ball, you'll have to trust me if you don't knit, but that's stupidly cheap! Their customer service seems really good to. I ordered last night and they were out of stock of the colour I ordered I got an email immediately today asking me to pick another yarn as a substitution. the yarn I picked is on clearance which is why they were out of stock.
Anyway, if yarn isn't so much your thing then be sure to head over to Jo and there is bound to be a post from somebody where you'll learn something new.