It's a tricky thing trying to find one place that has ALL the materials I'm looking for. So yeah you'll have to find a few places to shop to pick out certain stuff. Usually I shop online for supplies, and I'd say my go-to spot is feather-craft.com. However, lately I've just been using the online stores from the fly shops in Colorado... Get to support local business, and couple of them do free shipping on orders over $50, and since I live in CO its basically free overnight delivery via UPS ground.
For the most part, I feel there is a big difference between a fly shop and a fly shop for fly tyers. If you can find one of the latter close by then you're golden.