There is such a wide variety of yarn out there, it can be overwhelming. Some people will only use natural fibers, some want the easy care of acrylics. As in all things, regardless of the type of yarn you want to use, there is a big difference in the quality. Yes, you can buy really inexpensive acrylics that feel soft on the skein but knit up or more often in my experience, wash up, poorly. My mother-in-law used to buy the cheapest garbage she could from her local K-Mart and the sweaters she made for the kids always washed up stiff. It was awful.
For children's things, I always use a good-quality acrylic or more often, a blend. My favorite by far is Plymouth Encore. It comes in worsted and dk and has a very wide variety of colors. Its soft and washes and machine dries beautifully. And its reasonably priced and is often on sale. Superwash wools are very soft and you can wash them in the machine, but have to lay them flat to dry. For a baby blanket, or any baby clothes, machine for both is best. With a new baby, (or even and 'old' baby) who wants special care products?
In the end, though, you really do get what you pay for (on the cheaper end, anyway). The bargain "Pound-o-Wool" that you can find has its uses, I'm sure, but for a gift, or for something that you want to last, its best to go up a notch or two. There's no need to get crazy, because you can go that way, too. Hope this was helpful, albeit long!