Generally acrylic yarns tend to be cheaper, some are quite nice, some are awful.
Anything which retails at over £5 a ball full price tends to be nice wool! Rowan wools are lovely, Debbie Bliss too (although I got some Debbie Bliss Andes which looks beautiful but I am finding it very difficult to knit with), and lots of smaller brands.
My current favourites are Sublime Cashmere Merino DK, Rowan Cashsoft DK, and Stylecraft Ethical Twist.
Nice acrylic yarns include Sirdar Snuggly and King Cole Big Value DK is surprisingly pleasant for the cost.
In the middle pricewise are acrylic and wool blends - eg 85% acrylic/15%wool or 30 % wool etc, things like Sirdar CountryStyle, Sirdar Click and millions of others.
Buying online is fab but there is no replacement for having a feel of them in a local wool shop. I head for the bargain bin first, most wool shops have them, marked down stuff because there is only a couple of balls left. Make sure you have enough for the project though 