I made the Branching Out scarf, which has a lacy pattern. I started with the pink yarn recommended in the pattern, but it was too fine for me to work with. So, I bought the elsebeth lavold (also recommended in the pattern) and loved it. It had more substance to it without being bulky.
So my whole point in the above paragraph is to be careful with what you choose. Some of the lace yarn is very fine, but if you can work with that then you'll be okay.