Sock yarns
But wearing warm and cozy socks against the skin is different. It's best if they are wool because of its superior warmth, breathability, and anti-smelly properties, but not every sock yarn is good for the purpose. For instance, the popular Schachenmeyer Regia Pairfect, dyed to make two identical socks including the self-striping Pride socks, is a bit scratchy.
Merino "luxury" sock yarns are pretty popular - merino being the finest and least scratchy of sheep wools - especially hand-dyed ones, which were so trendy about ten years ago that small dyeing businesses were springing up like mushrooms and ill-advised ugly projects made with spatter-dyed wools (it looks fine on socks but the colors do unfortunate things on sweaters and other large canvases) were similarly all over Ravelry. Merino is smooth and silky, but it feels a little like cotton because the fiber is so fine and so tightly spun, so as a result the socks are not fuzzy or cozy.
Alpaca is the best fiber to add the fuzziness to a cozy sock, but it's not as stretchy and elastic as sheep's wool. Wool socks made without elastic already don't always stay up well, depending on a lot of factors, but alpaca by itself is limper, so the challenge is how to blend alpaca and sheep's wool.
I have raved in the past about the sock wool Spøt by Sandnes, which made wonderfully fuzzy thick socks and is now discontinued. But their elasticity was so bad that they couldn't be worn out at all.
My newest socks are made with Drops Nord, another alpaca blend, which I am currently very happy with. It's 45% alpaca, so it's likely that the texture of the fabric makes a big difference. My socks are cabled, and that might be holding their shape. Ribbed and stockinette socks are the worst at staying up.

