http://www.cambridgequilts.com - lovely shop in Cambridge
Quilted Threads in Henniker, that others have recommended, is an awesome shop, nice people, fabulous fabric collection, expensive so bring your charge card. Good sale fabric section too.
Another NH shop I really like is Gail Peck's Quilters Workshop in Newport NH. Really nice and helpful people and Gail has a large selection of lovely fabrics, good prices. If you're there on a Wednesday and most Thursday mornings and go to the sale room, I'll be sitting at my sewing machine working away.