A lot of it, too, depends on your climate and the time of year. For warmer climates and summer time, lighter cottons would be appropriate. For winter and cold climates like yours and mine, sport and worsted weights would be right. I have two sets of winter gear. One for the early fall/early spring when the temps are milder but you still need to cover up. I use sport weight for these. Worsted or bulky weights get too warm at this time and you'll sweat. For cold and bitter cold weather, I use worsted weights. Sometimes I'll layer and wear lightweight store bought (magic gloves) under my worsted weight mittens. I don't like using bulky weights in the winter because they get too warm, even in subzero temps. I prefer to layer.
Knitpicks is the best price and quality. They have great customer service and fast delivery. Wool of the Andes worsted weight is one of my favorites as well. Even with shipping costs, I end up paying a third of the cost of what my LYS would charge for the same type of yarn.
Example, Cascade 220 100% Peruvian Highland Wool. My LYS wants $10-12 for a 50 gram hank. Knitpicks has an almost identical Wool of the Andes (in skeins so I don't have to wind them) at $2 including shipping. I bought the sampler pack with 15 skeins for around $30. You do the math. How many more skeins would you get from Knitpicks compared to your LYS? I got 15 for the price my LYS charged for 3.