I hardly ever shop at the store for any other reason--but Walmart is my leggings source. I LOVE their Danskin Now leggings, available in both capri and ankle length. These are the cotton-spandex kind, with a wide mid-rise waistband that doesn't add bulk under skirts and dresses.
I have to go down one size, but they fit great and seem to last about forever. I've actually redyed some of my black ones, and they still look practically new--no pilling or other wear, and I use them hard, for both everyday wear and exercise.
The color choice is limited (I have black, heather gray, and heather navy). They are very cheap--maybe $8? I've also had Simply Vera Wang from Kohl's; they are nice and soft, but seem less sturdy than the Danskin Now ones. We Love Colors makes nice leggings in a rainbow of colors.