Right now Webs (www.yarn.com) has another very similar Noro yarn on sale for $5 a skein called Kujaku.
(Look here: http://www.yarn.com/yarns-knitting/norokujaku.html)
It is wool with a multicolored strand wrapped around it but the color striping is very similar to Kureyon. I've seen it felted on the internet but the reports say that it is harder to felt than Kureyon (i.e. takes more washings and produces a slightly looser fabric).
The Kujaku feels similar to Kureyon. Yes the Kureyon feels kind of scratchy in the ball but I'm doing a sweater in it now and I made a swatch and washed it and I thought it softened tons. I wore the swatch under my bra to check for against the skin wearability and even I forgot it was there. As for the "hay" I've found like 2 2mm pieces of it in the ball I am working with now.
The thing I personally dislike the most about noro yarns is the fact that they knot them when one strand ends - and they don't bother to match up the color striping at all. So I've had to cut out the knots and do my own color matching.
The gorgeous colors make up for it - to me at least.
For good prices on yarn definitely check out www.yarn.com (see the closeout and garage sale areas) and elann.com.