I think it is fun to get a great deal on yarn, so I'm always on the lookout for bargains.
One good way is to support your LYS. One of mine has a frequent shopper card that gives you a credit once purchases add up to $100. Another shop gives you a 10% discount for a purchase done in your birthday month.
Bargains can also be found online. Discontinued Brand Name Yarn is exactly what the name says. The yarn in this picture came from them. If you include shipping, the cost was about 55% of the normal prices for these yarns. Another place I've gotten great prices is Little Knits. If you're lucky enough to live in Seattle, they've also got a brick-and-mortar store.
Ravelry is a great resource for bargains. There are forums for people who are destashing. You can do searches for yarns that people are willing to sell or trade. I was looking for a specific yarn recently that wasn't available from the dyer. I found someone on Ravelry who had exactly what I wanted for less than it would've cost at retail.