Just look at your local yarn shop for a nice DK or sportweight yarn that has a blend of mostly wool with nylon. But, if it's your first socks, you might want to get something less expensive to learn with.
I made my first socks with a sportweight acrylic/nylon blend yarn I bought at Walmart. It made me braver in learning, without worrying about messing up the yarn.
I'm wearing those socks right now!
Next, I used a nicer wool sportweight yarn, to make some socks for my sister and her boyfriend.
After making them, I moved on to the nicer yarns in a fingering weight, without fear.