I have used Paton's Classic Merino Wool
on several occasions and have really liked it. They have a decent color selection, including a few different blues. It is probably readily available in most stores (it is here where I live anyways).
I have also used Wool of the Andes with good results, and I actually found that the colors as I saw them on the monitor were fairly accurate with what I received.
I'm sure the bear will be cute whatever you decide!