@Lemlems are you looking for recommendations of yarn fibres, or for specific brands?
It does vary a lot and it can be hard to tell just from touching the yarn while it's still in the skein.
It's also quite personal, I think. For example, I almost always dislike working with acrylic yarns, because of the way they feel when I'm knitting with them. But some are okay, and the finished items can feel okay to wear.
Some yarn shops have a few samples of selected yarns knitted up, so you can touch them.
Personally I tend to prefer merino wool, bamboo, cotton, tencel. But it depends on the type of item (socks, scarves, hats all feel different), stitch pattern used, yarn construction, fibre quality, and a bunch of other things.
For a hat, you'll need something with elasticity, which means animal fibres such as merino wool.