I'm currently about a third of the way done, and I'm doing it in Malabrigo, an amazing merino wool. It's a really lovely pattern.
Lots of people make it in lots of different yarns. I even saw one made out of lace-weight yarn. Before I found the Malabrigo, I was considering just getting a few different colors of a yarn I liked and making it striped. Solid colored yarn is cheaper, and it would have a similar look to the varigated yarn.