Windsor Button is handy and well-stocked, but you pay a bit of a premium for the convenience to offset the high downtown Boston rent. Still, I don't mind helping to support a Boston knitters' landmark from time to time.

My favorite Boston area shop is Wild and Wooly in Lexington Center. They have 2 floors of yarn, and the Wall o' Manos del Uruguay. It's a bit far, but worth a trip, especially during their annual clearance sale.