I second Lululemon, if you don't mind the price. There's a store in Natick mall. They do alterations for free (hems), which is a big plus if you are petite. Their yoga pants are very flattering. They have them in a "system" sorta like the GAP - different styles depending on your body type.
The only problem is that some people may call you a "Lulu Lemming"... it's more or less become a status brand.
There's another similar chain - at cheaper price point - but I am blanking on the name now. Nothing in their store ever fits me though.
GG, another option is the New Balance outlet in Watertown. I probably even have a "50% off single item" coupon kicking around here somewhere. You never know what you're going to find at the outlet (it's the kind of place you have to stop by frequently - i.e., a true outlet) but I have gotten some excellent deals.