What about Merino wool? It's less itchy.
Alternatively... Alpaca, Mohair, Angora, Cotton, Hemp, Silk or even Bamboo. Depends on what characteristics you would like your sweater to have besides being less itchy than sheep's wool.
Regular old sheep's or lamb's wool seems to be about the easiest stuff to work with. Itchy or not it's probably best to stick with it if you are just learning.