You guys already mentioned the places I always go to when I am in Montana.
Blue Ribbon Flies in West Yellowstone for deer hair, Jim Slattery's Campfire Lodge for hackle and misc items, Madison River Flies in Ennis for hooks and misc items, and Bear Tooth Fly Shop near Cameron, MT for fly tying materials you find nowhere else. You can hit all of them if you drive from West Yellowstone to Ennis. I should also mention Kelly Galloup's Slide Inn just a few miles south of the Campfire Lodge. The lowest prices are at The Campfire Lodge.
Since I visit them every year, I pretty much know what I want to buy in each place. Troutfitters in Island Park, ID on the Henry's Fork is the place to go for CDC. That's pretty much all I buy there unless I want a copy of a particular fly pattern.
"Discovery consists of seeing what everybody has seen and thinking what nobody has thought"..........Szent-Gyorgy