I use yarns made primarily with merino wool for brioche knitting. It's the only wool that my sisters will wear as they are very sensitive to others. I just completed a hat made with Malabrigo Rastita yarn, though there are many others available. I also like using dk weight with a smaller needle (US3-5) than recommended. Yet I have also used worsted weight yarn with a US4-6 needle.
Merino wool is beautifully soft, even the superwash Merino.
I've also used mohair yarn: http://www.knittingparadise.com/t-419325-1.html
With the mohair I found that it is worth to buy a good quality (kid) mohair.
The less expensive mohair is likely from older goats, is coarser, and could be scratchy.
Most wools make me itch a lot; except for Merino wool. My favorite for softness is Galileo from Knit Picks. It is 50% Merino wool & 50% Bamboo which is extremely soft. It's one of my favorite yarns; but don't take my word for it. Go to Knit Picks & read some of the reviews on this yarn.
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