For A1 I believe the dye vendor is the vendor that's on the path you take to get from the WP area of town to the blacksmith for the quest to help him kill his wife. A2 it will be the fat vendor that is next to the entrance that leads to the emperor. A3 it's the vendor next to the jeweler. A4 I believe Diablo ate all the vendors.
I like A2 <Insert Highest Difficulty Here> on the last quest. All the vendors are right on top of each other, so you don't move around too much. It's a simple reload of the game if they don't have they dyes you want. Inferno, as always, has the most variety.