I have just recently converted to a "yarn snob" mentality. I don't mean to offend anyone with this term, so let me explain. For a long time, I only used yarns that I found at big box stores, and for the most part, for the projects I was making at the time, they were perfectly serviceable. Yarns like, Caron, Lion Brand and Patons. But now that I have graduated to making bigger things, like sweaters, I have decided that for the amount of time spent and the number of years I expect to wear the object, it has been worth it to spring for really nice wool.
One of my favorites is Brown Sheep, Lamb's Pride Worsted. I can choose from a wide array of colors in my LYS. The yarn feels so nice to knit with and the end result is a project with good stitch definition, nice drape and durability. I made a turtleneck sweater, Tang by Wendy Bernard, from the Oregano colorway and I love it. It is also great for hats, cowls and mittens. The price ($8.50 for 190 yards) might seem high if you tend to buy from the big box shelves, but the investment, over time will be worth it.
My other favorite yarn is Manos del Uruguay Maxima. This yarn is so soft and I am using the variegated color of Key Lime for my Derry sweater. The lacy detail that runs down the shoulder to the wrist has great stitch definition and will look even better when blocked. I got this yarn at Knit Wit in Portland Maine for $11.50 per skein (218 yards per skein).
I hope I have given you some persuasive encouragement to test a yarn that might seem more costly than you deem worthy. I can testify that each row will be telling proof that really nice wool can make the hours of knitting fly past. The years of garment wear will also make all of the work done worthwhile.