Needle World is the only local store I have found to buy wool roving for needle felting, however, even though I really want to buy local (and save on shipping), it can be quite a pain to shop here. I've been there several times and it is hard to identify who works there among all the knitters. Also, expect to feel stupid waiting for someone to notice you, and to wait while they finish whatever they are doing, and helping everyone else before they ansewer your question or ring up your purchace, be prepared for them to sniff at your purchace (you're going to do what with it?) I guess they warm up to you after awhile, but I'm not that patient.
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