Michaels and Joann's sell a BIG skein of yarn (I think its called "THE POUNDER" or the "ONE POUNDER") that costs about $7.99 but they put it on sale a lot. If it's not on sale, you can use one of their 40% off coupons on it.
Other ideas: my local goodwill often has yarn.
Ocean State Job Lot often has yarn, but it's usually the fringe kind, but you never know what type might show up there.