We found an even broader variety of colors at Fabric Land (48 colors of burlap!) for $6/yard (colors pictured below). The catch at Fabric Land is that you need to place a minimum order of $50 (but there is free shipping). So pool together an order with friends or family and order some colorful burlap to make some cheap, textured curtains or pillows!
Let us know if you've found a burlap source with a rich variety of colors at good prices, without minimum order requirements.