Two Sisters and Ewe in downtown La Mesa is very nice local yarn store. They have a good and varied selection of yarn, books and notions and offer classes almost every day. The staff is always friendly and helpful.
The Grove at Juniper and 30th has a great selection of yarns, needles and notions. In addition to yarn they have other craft supplies as well as gifts and books. They offer weekly classes and knit salons.
My hands down favorite yarn shop, at least in my part of Los Angeles, it's centrally located in Burbank and they have an amazingly good selection. My daughter and I loved going there and we always felt at home.
This was one of my favorite yarn and needle arts stores when I lived in Los Angeles. They staff is friendly and I usually left with more than I went in for.