The Wisconsin Craft Market is one of the first places I go when looking for almost any craft supply. The store is well organized, prices are fair and the staff have always been friendly and helpful whether in person or calling ahead to see if they have what I'm looking for in stock. I've picked up supplies for stamping, embroidery, painting, beading, crochet, drawing, and kids projects or gifts. They have a nice paper selection and a wide variety of yarns. The one thing you won't find here would be fabric or sewing supplies (Hancock Fabrics is right next door). If you sign up for their newsletter you will get updates on new items and regular coupons.
Wisconsin Craft Market may not be as large as some of the chain stores in town, but I've never been disappointed and I prefer supporting a local business. Because they carry a little bit of everything, I think it's a good place to start before visiting any of the specialty stores which cater to one craft or another.