I find when I'm first starting a new pattern I need a yarn that is easy to count stitches with. The furry yarns or loose yarns I find make it difficult to see where your stitches are and until I am comfortable with the pattern I find I am less frustrated if it's easily counted. I also prefer bulky yarn. This may be because my patience is lacking and I like to get done with the finished product faster. If money were no object (this is just from my experience at common craft stores) I prefer the very thick Lion Brand Wool-Ease yarn. It is soft and very thick and turns out very warm as well.
If money is an object I have found a good compromise between the very thin yarn and the thickest to be the Lion Brand Charisma. It is also soft and warm but does not take quite as long as the very thin yarn.
I find that my least favorite in general are the very furry yarns. They are very fun and soft but I am easily frustrated by the challenge of counting and finding stitches. I save these types of yarn for my very favorite pattern or person to create for as in general it tries my patience.