The Lion brand wools are OK. They do tend to pill.
But if you are like me, and access to a good yarn shop is limited, the wools are a huge step up from red heart
In my opinion its not a bad thing to start with the lower priced yarns if you are just starting out. (be careful - just because you can buy it in the craft shops does not mean its cheap)
If you are not sweating the cost of a your project you are more apt to just enjoy the process.