I would say 100% wool. Like the other posters said, Cascade and Wool of the Andes are good ones. Wool of the Andes is similar to Cascade but a significant savings. I thought it split, but worth it for the price. Something you may want to consider is double knitting or Fair Isle knitting to double layer these and make them warmer. Here's an any yarn, any size needle mitten pattern I found helpful using the Fair Isle technique. I especially liked it because the fit was great. I've been knitting one size fits all mitten pattern but had a problem with the cuffs sagging. I never realized it before reading this tutorial, but my hands are an odd size. I measured like they said and found I have small wrists and wide hands. The pair I knit with this formula fit me perfectly. Another thing I would suggest is three inch cuffs to keep your hands warmer and snow from getting inside your coat.
http://www.hjsstudio.com/mittens.html