A few days ago, I ordered DMC threads online for the first time, from http://www.leisurecraft-tewkesbury.com/ , which I haven't seen mentioned in this thread, so for those in the UK primarily, here's another shop.

They sell the skeins of thread for 40p, which is much better than the only shop I know in my town that sells cross stitch stuff. For my order (which was about £10) the postage was £2, which wasn't as bad as some other sites. I haven't received my items just yet, but that's because the lady who runs this website is currently ill, and emailed almost straight away to inform me, which I appreciated. I'm so looking forward to it arriving. But for now, I'm just going to have to keep stitching white background!