Here are some of my favorite places to shop:

Yarn:

www.theknitter.com  This is my newest and most favorite site now!  Excellent service, free shipping.  Wide selection of lace weight yarns and Addi Turbo needles.  The Jagger Spun lace weight silk/wool yarn is wonderful.

www.knitpicks.com  This site has wonderful lace weight yarn and sells dyes as well.  The prices are terrific.  Great quality.
www.woolworks.com  I purchase my Jamieson lace weight Shetland wool here.  Great selection of colors.  Great service.
www.knittingzone.com  This is where I purchase my Hiya Hiya circular knitting needles.  Very fast service!

Dyes:
www.wcushing.com   This is where I purchase my dyes.  They  have a huge selection of dyes.  They are easy to use and results are fantastic.  You cannot order from the website however.  Here is their toll free number:  1-800-626-7847.

Sewing Patterns:
www.adams-harris.com   Oriole has wonderful patterns for many modern dolls, including ball-jointed dolls.  Her designs are excellent and the fit cannot be beat.

Supplies:
www.tinyzippers.com  I buy my zippers and buttons here.
www.riorondo.com  This is where I get buckles for purses and shoes.

Boneka Clothes:

www.letsplaydolls.com While I do love to sew for my dolls, I do enjoy buying clothes for them too.  Boneka of Germany makes wonderful clothes for a lot of different size dolls.  The quality is excellent.  I get my clothes from Nancy Miller at Lets Play Dolls.  Nancy is a delight to deal with, has a huge selection, her site is easy and service is excellent.  When you feel like treating your doll to a special outfit, check out Nancy's site.