Gary, I buy a big part of my tying materials at Bass Pro. Price can be steep on some things, but I am usually happy with their choices. I tend to dig through certain items until I find the quality of what I am looking for. I shop there for two reasons 1.) location, I can be there in 30 minutes and 2.) the guys in their fly fishing shop are knowledgeable, particularly Jack, who knows as much or more about fly fishing as anybody I have ever met.
I also order some things from Little River Outfitters.