I think there's a supply store in Coolidge Corner in Brookline (not Davis Square that I know of), though I remember little else and can guarantee this will be one of the less helpful comments on this thread.
There is one in Davis -- Spark Crafts (http://www.sparkcrafts.com/) -- which is a cool place, but relatively limited selection of yarn. I don't know of one in Coolidge Corner, unless it's new (though there are several stores in Coolidge Corner that were there all the time that I just never discovered when I was living there, so I could be wrong!) -- but are you thinking of the one in Brookline Village, right off the T stop? It's a nice place, but not worth the hike for me. kalliejenn2, I've been meaning to check out The Knitting Room in Arlington, if you wanna go some time.
Oh, and now I want to check out Mind's Eye Yarn (http://www.mindseyeyarns.com/), too, based on the recs above. There's one on Newbury Street of course, but it's annoyingly expensive and I didn't get good service. And while I don't like the commute, I admit that A Good Yarn (http://www.agoodyarn.biz/) in Brookline had the biggest selection I've seen so far, and very friendly service.
I just went there (Mind's Eye) for the first time tonight! It's quite small, and as much about spinning as it is about yarn and knitting. The woman who owns it is so nice, and I got some very pretty sock yarn in my favorite colors! She seems to sell mostly Cascade yarns.
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