Edit: Wollkontor Erlangen doesn't sell fur anymore
EDIT 20.01.2010: I got an email from the owner, and the fur has been removed from the shop. As it turns out, the owner is a vegetarian herself, and answered my mail in a nice manner. I have no problem anymore with buying from Wollkontor Erlangen.
I've been a pleased customer of the German online yarn shop Wollkontor Erlangen - they have a really nice selection of yarns and their service is good.