A 100% merino wool (softer than regular wool) worsted weight yarn. It comes in a large variety of solids and variegated colorways. Readily available and a good price, and it felts beautifully.
Patons Classic Merino is the best in store go-to yarn I have found. It is 100% wool, incredibly soft, and comes in a wide pallet of colors. The skeins are decently priced, and come with 223 yards per ball. I have found one ball often sufficient for small projects such as hats or a pair of gloves, making it an even greater value.