They say if you remove pills it eventually stops...but sometimes you got to wonder. It's due to the fiber getting rubbed and pulled on. Like felting on a tiny scale.
I have a pair of mittens I made in Brown Sheep Lambs Pride that I've worn pretty regularly. They are about 2 years old. They get the occasional pill but usually just pull it off and it's fine. They still look like new. For this reason I want to make a cardigan out of lambs pride one of these days.
I have used Elizabeth Lavold Silky wool and while it pills a little it's not much, mostly where the sleeves rub the body of the sweater and again the pills are easily removed it still looks good. This sweater is only a couple months old but I've worn it a fair bit.
I've also used unspun Icelandic from School House Press. It isn not the softest of wools but warm and curiously fluffy. It has not pilled at all.
I have a new sweater in Berroco Ultra Alpaca, I've worn it about 3 times and it hasn't pilled yet but the alpaca is starting to "bloom" and make it look a bit fuzzy. So the jury is still out.
On the contrary side Bershire from vally yarns pills alot, I have sweater/coat in the bulky that I'm constantly removing pills from and shaving. And cascade 220 superwash pills pretty quickly too.