Like you, I've been knitting with acrylics for a few months. I've also used 100% cotton because I love to knit and crochet dishcloths (many are for gifts this Christmas, plus I like using them). Cotton is of course totally natural, but it's a bit hard to get the tension right at first. As for the silk, mohair, and alpaca, my budget doesn't permit at this point so I can't comment on them. I'm sure I'd love them if I got my grubby paws on them!
You can buy some Lion's Brand wool at WalMart for not too much money. However, as others have pointed out, that might be a case of getting what you pay for. Others are allergic. I've bought some to see if a hat and scarf set might get made without the wool itching me.
But if your budget permits, try anything you can. That way, as the others said, you can decide what you like or not, even if you DO like acrylic! I love it myself and can't imagine living without its easy care. Also, I live in the deep south, so our winters are milder and you don't need so much wool as you do further north.