Check out Leland's at http://www.flyfishingoutfitters.com/.  They don't charge shipping.  They're online fly tying section is new, so I'm not sure how may materials they have on their website.  They'd probably hook you up if you called them, though.

Feather Craft is a good website for materials.  They're website is http://www.feather-craft.com/.  They've been around for quite a while. 

-- Edited by JT at 23:59, 2008-01-26

The guys at Leland's are great.  They don't have a huge selection of fly tying materials but they will order you anything.  Kiene's has a larger selection and will also order you anything.  But if you want to order everything online with no phone calls there isnt any place better than Bob Marriotts.  If you are ever in So Cal you should check this store out.  It's incredible.  They hands down have more fly tying material than any store I have ever been to.

http://www.bobmarriottsflyfishingstore.com/

Orvis is closing their Palo Alto store and have all their materials marked down something like 60%, might want to give them a call and see if it's worth the trip for you.

I never knew the Fly Shop had an online store. Thanks Cole.