My advice would be to visit your local yarn shop and feel the skeins. See what you think and ask questions. The LYS will give you personalized service and often recommend the right size needle or give you some tips with knitting with it. Many new knitters bring their work into my LYS for some help with problems. They help them at no charge.
My suggestion would be to buy one skein of a yarn you're interested in. Make something small with it, like a hat or a purse. Try it out. If you don't like it, at least you're not out a lot of money. Jan is right. Some wools are scratchier than others. Fisherman's Wool by Lion is one I would not use. Two of my favorites are Brown Sheep and Cascade (I think that's the brand name) 100% Peruvian wool. If anybody else has some suggestions for other wool yarns that are good, I would love to hear about them.