I second the comments below. Buy from a local fly shop if you can. There have been too many go out of business in the past couple of years.
If you need to go to the internet, I have had very good success at Hook and Hackle. They have a broad range of fly tying materials, and have been in business for a long time as a mail order outfit. I used to order from them way back in my early days of fly tying, and have rediscovered them in the past couple of years.
http://www.hookhack.com/
A second online alternative is EBAY. I often find what I'm looking for there, and often get pretty good deals....but not always.