I buy foam sheets for tying (depends on color) and the thick foam sheets and cut to size when when I hand out flies. Glass beads are OK for some patterns, it just comes down to size. Overall, the materials I've purchased from craft stores haven't really given me the end results I was looking for. So my experience has been money wasted. Perhaps it was the materials I chose, the selection at the craft store I was at, etc. I know lots of folks swear by them for materials. Hey whatever works! You may just have to try and see for yourself. I'm sure there will be others that can offer more craft store suggestions but for anything else I go to or order from a fly shop.
Feathers and deer/elk hair are certainly one thing I'd suggest that you buy in a shop when possible. I have a few shops in my mail order rotation that haven't let me down with ordering them without seeing them. JS
Fly fishing runs monthly specials, occasionally offers up coupons, and also has a Frequent Tier program where you get points with each order that translate into $$. They have a good selection of materials and are a staple source of my materials.