Michaels Crafts Store is the best. I wait until I have a 40% off coupon before going. I cruise the sale and clearance section first and often find amazing bargains there. If I don't find what I need there, then I use my 40% off coupon to buy what I need.
Walmart is also an inexpensive place to buy craft supplies, although the selection isn't very big.
Joanne's Fabrics often has sales.