Some wool sweaters bobble really quickly because the fibre length is quite short and so despite the spinning process, little fibres can work loose and bobble up under friction which is why you see them around underarms etc. It's called the staple length, and is to do with what you could imagine as a chunk of hair from the fleece of the sheep.
Merino has a slightly longer staple length so is slightly less prone to bobbling, and because that makes the yarn a bit smoother, it feels softer and less itchy against the skin.
Lambswool is a short staple length, and the little ends sticking out of the yarn are what feels scratchy.
Consider what clothing farmers and hikers wear to manage in cold conditions. Wool is good for regulating body temperature and copes with being damp, which is why fisherman's knits were such a thing. Cashmere is luxurious but benefits from being looked after properly.
Fine acrylic knits are fine for indoors but aren't particularly warm in my opinion.
I cannot wear mohair or angora, anything with a "halo" of fuzziness around the fibre sets my skin on edge.
Source: I'm a knitter with an interest in the sheep to sweater process.