It really depends on how much $$ you want to put out. Generally, for socks, you want a superwash wool, or something with a smidgen of nylon in it for durability. Lorna's is FANNNTASTIC... But, also, there's Socks that Rock by Blue Moon Fiber Arts... even YUMMIER! For your first pair of socks, I would go with a sport or DK wt, and knit them on sz 2's, instead of a fingering wt that you'd have to knit on 0's or 1's. They go MUCH faster.
Hope that helps!