The only places that I have found truly decent lace/fingering/sock yarns are at local yarn shops. They do come in larger skeins, but they also cost a bit more than what you'd find at a JoAnn's or Michaels. You can find some smaller weight yarn at thos stores, but it will be the smaller skeins/balls.
You might also want to try etsy, as there are a TON of yarns out there, again, might be more $$ because of the fiber, or because they are handspun, etc.
I am going to assume you've checked out the Lion Brand site? They have a bunch of different yarns/weights, along with patterns. Ravelry might also have some great suggestions if you do a "stash" or yarn search.