Classic Merino felts great.
Also www.kelyarn.com carries Briggs and Little which is awesome for felting and only costs $5 or so for a 100 gm skein.
Are there really no shops up there? My friend brought me home some "souvenir yarn" from some place called The Spinning Wheel or something...
I could be losing my mind though. Wouldn't be the first time.
I prefer Patons Merino over Cascade, and though I havent felted with Cascade, the merino felted great! I bought some from here in the past, and they are in canada. They have reward points which I always love.