One of the 'thinnest' fabrics I bought was a Nancy Crow purchased at a LQS. It's fairly tightly woven, but it does not have the 'hefty' feel of - say, a Northcott.
Some people prefer the heftier feel - Usually the heftier feeling ones have fewer threads per square inch. Some prefer a smoother, more tightly woven feel.
There really is no substitute for experience when it comes to buying fabrics.
Some of the thinnest, most see-through cotton fabric was the most expensive - it was a cotton batiste purchased for a christening gown. It was, however, fairly tightly woven.
I can't say about the current lines of fabrics at WalMart OR LQS OR JoAnn fabrics - I haven't bought any fabric from ANY of them for about a year.
I do haunt garage sales, though! The pickings have been very slim.