This is not idle fantasy. Once in Berkeley, CA there was a store called Straw Into Gold that shut down in the late 90's and is now just a wholeseller.
Anyways, their retail store had a huge selection of yarns that were all on spindles. Using their handy ball winder, I could spin off as much as I felt I needed, and then buy the yarn by the ounce. It was great for experimentation with color-work. Anyways, I would love to once again find a store that sold yarn this way.
Look for shops that cater to weavers. In the various places I've lived, most weaving shops will do this. It's kind of the little extra they have to offer over the internet purchase.