So, I decided to add to my answers and put them here instead of under the comments...
I don't have a favourite brand or type of yarn. I am more the what ever jumps out and grabs me when I walk through my LYS or surf the net. I'm not crazy about 100% acrylics unless there's something unique about them (colour, texture etc.)
I have so many projects that I want to work on, so little time! I finished a pair of mitts (haven't felted them yet) the other night and today cast on the beginning of a scarf for my 12 year old. I am also going to pick out a pattern for the Red Sweater KAL (bought the yarn last spring when my very favourite store was closing out), and I have numerous project ideas floating around my head right now! As I said, so many projects so little time! You can read my lengthy (and ever growing it seems) list of projects on my new blog http://prairie-girl-knits.blogspot.com/ so I won't bother listing them here.
Living here in Winnipeg I don't have too many options for shopping for yarn. (Very sad, I know) We have Ram Wools, Leona's Sweater & Wool Shop and Michaels. Oh and of course WalMart. Leona's is a really tiny shop, with fairly small selection, but the lady there (possibly Leona?) is friendly and helpful, so that's good. Michaels and WalMart, well we all know their selection. Ram Wools is pretty good though. My very favourite store up until June/06, when she closed, was Camille's Elegant Yarns. It was a small shop, but she had wonderful selection crammed into her tiny space. And really what made the shop was the owner Camille! She was fantastic, could answer any question, come up with a substitute in no time flat, remembered me no matter how long it had been since the last time I'd been in (During my college years, there was pretty long stretches between visits!) and beyond all that Camille is just a lovely person who is lots of fun and I could end up spending forever in her store just chatting with her. When we heard she would be closing, my younger sister and I went there almost every weekend! Wool shopping is just not the same for me anymore!
As for yarns I'm coveting right now, I have absolutely fallen in love with Fleece Artist out of Nova Scotia. I just haven't been able to justify the $40/skein price tag yet - maybe when I start my new job at the end of the month and get that pay raise... I also love the colourways of Sweet Georgia out of Vancouver. I've never used her yarn, but it looks beautiful!