Ah, that is the question of the century!
Seriously, it all depends on what you want. What are you making, what yarn does the pattern call for, are you on a budget......I find all of these things are important to me.
Right now I'm a strictly acrylic knitter. The projects I'm working on are for everyday use, so I want something easily washed and dried. I also have a BIG problem with wool and breaking out, so I don't like to use it. People that don't have that problem see things differently. Also, I'm still at the beginner/novice stage, so I tend to stick with less expensive yarns as it's easier for me to mess up a $3 skein of yarn as opposed to an $8 skein of yarn.
So, now that I've made that clear as mud, the simple fact is that nobody else can tell you what to like and not like - just go with what you want. If you do make substitutions from what the pattern calls for, just make sure you have something that is pretty much the same bulk so you stay true to gauge.