Surfing the net you can find many places to purchase wool online and recently I found Woll Knoll in Germany. I have not made an order from them yet but there prices are the best I've seen so far. Even if I have to pay 12-15 Euro for delivery it is still cheaper for me than buying locally.
Israel is slowly (turtles pace) showing up with more to offer the fiber artist. You pay the price because unless it's industrial wool fibers used for making Tziztit, the 4 cornered garment worn by religiously observant men (Google if you're curious), it's the only economical choice I have found near. When I spoke to the factory owner and told him what I needed it for he had no idea what I was talking about and really no clue what kind of wool he had other than the microns of the fiber. So I nixed it. I need to deal with "fiber people"!
If you're in the States, Paradise Fibers has a wonderful and very reasonably priced section of wool. I have ordered from them a couple of times now and they are fast and efficient with the orders. They followed my special instructions that I requested for my order and if you order a certain amount you get the shipping free (to the US). I have family in the States ship it to me from there.
I also found a lovely woman, Lois, on flickr.com who has her own farm, Bellwether Wool Co. with Wensleydale sheep and some beautiful locks to sell, very accommodating to my location.
I think it's important to establish connections and get a dialogue going in order to help each other find what the other needs. Which is what I try to do on the log by posting links If I find the information on line useful I will post it on my link list.
So have a look and see if anything can be of useful information. I would also love some feedback if anyone has found stores that have good deals.