If you're looking for a worsted weight yarn, the price of WOTA is fabulous. In comparison, you can go to WalMart (ick) and pay about the same price for a yucky acrylic yarn (not all acrylics are yucky, but the WM brand is). All of Knitpicks prices are good. I would recommend that you go to a yarn store in your neighborhood (referred to as LYS--local yarn store) and take a look at what they have on offer. Get a feel for the different fibers, cotton vs. sheep's wool vs. alpaca and all the other fiber contents you can imagine. (KellyK calls this fiberbating.) That's the best way for you to decide what you do and don't like. After you familiarize yourself with the things that are out there, you can shop around on the internet much more confidently.
I am fond of Plymouth brand's Encore yarn. It feels really nice and is usually reasonably priced.