For about the same price as acrylic, you can use 100% wool - Superwash wool. Cascade brand sounds pricey ($10 range, tho I've seen it for $6 at a local yarn shop), but when you compare the yards (220 per round ball) with acrylic, it is only a dollar or 2 dfference.
Benefits: all those of wool. Warmth, wicks moisture from the skin while still a vapor (better than those new fibers), warm even if wet, non flamable etc.
Extra benifits of super wash wool: scales are removed from the fiber so you can machine wash and dry it. No felting, no shrinking. Because the scales are removed, it is super soft no-itch.
I love it!