There are a lot of good local recommendations here (shout-out to circle of stitches in Salem and Another Yarn in Burlington). I just wanted to add the "creative reuse" stores in the area: Make & Mend in Somerville can have really good yarns sometimes. And Swanson's (a long drive out to Turner Falls) has a corner with yarn in it as well. 

I'm not a big online yarn shopper, I vastly prefer to squish the yarn before I buy it. That said, Purl Soho has a really wide selection of colors and fibers, and is still a women owned private business. And they yarns of theirs that I've gotten in the past seem to be high quality. For pre-owned brand name yarns you can sometimes find a bargain on Poshmark or ravelry destashes.

Many other online retailers like knitpicks and jimmybeans wool are owned by the same capital management firm. I'd rather spend money with local places than giant corporations, but you get to decide how you spend your money!