I really like A Child's Dream for roving. They also have a variety of peg dolls to choose from. I can't speak for their felt, but I imagine the quality is really good. I know that felt from Wal-Mart does pill with time and lots of wear, but I have used it.
Mothering an Autumn (08) , a Spring (11) , and another Autumn! (Nov. 2013)
Taking what works and leaving the rest
In my research, I've heard (and found) Peace Fleece to have great prices on wool roving and felting supplies.
Does that help? Is that what you're looking for?
The above links are great : ) Plus we have found the wooden peg people at Micheals or any generic craft supply store, for a very reasonable price (think packs of 4-5 for a few bucks..) I have found clothspin dolls, loose wooden parts and the peg dolls...and the last time I went they had some (limited supply) wool roving and felting stuff...which was nice because I love being able to go to a shop that's not too far to get things vs going online all the time.