For sensitive skin, yarns made from natural fibers like cotton, bamboo, silk, and alpaca tend to be good choices. These fibers are typically softer and less likely to cause irritation or itchiness compared to some synthetic yarns or wool. It's a good idea to test a small sample against your skin to ensure there's no irritation before starting a larger project.
We can not tell you if our Mohair for example is itchy to your skin. To me it feels extremely soft but to my colleague it feel itchy. This is something that differs from person to person.