Cabela's offers a largest selection of fly-tying materials among the major sporting goods suppliers, as of 2015. Orders can be placed from the online catalog, and the site's location finder can help locate a physical store.
Dick's Sporting Goods, as well as K-mart and Walmart, often sell pre-packaged fly-tying kits in addition to pre-made ties. The St. Louis store Feather-Craft Fly Fishing also offers a wide selection of fly-tying materials available for purchase through its website.
Note that the inventory of any chain store varies from location to location, and it pays to inquire about its selection by phone or email before making a trip.