Ah, you should have a nice choice in Maine! (It’s my impression that there are a lot of yarn shops and producers in Maine and Vermont, plus Canada isn’t far.)
I find that most merino is just too soft and tends to pill. It doesn’t have to be that way, but it often is. Having said that, non-merino can pill too. Like Wool of the Andes is a merino/corriedale cross and if you are unlucky you can get a batch that pills.
Another thought is to combine a slightly thinner wool with a fluffy strand of something like Kidsilk Haze (or the many similar yarns) to make it up to worsted or aran gauge. This makes things a bit more airy.
Regarding the number of plies, I personally would avoid s-on-s plied yarn. This is usually superwash and merino, so it probably won’t be an issue. It is made of many thin plies twisted in one go. So the very thin plies are exposed on the surface of the yarn and are vulnerable to snagging and snapping.
Another one you may want to avoid is a singles, which can make a lovely effect with its own special personality but can also be harder to knit cables in because it tends to catch. Not impossible, but maybe not recommended for a first big cable project.
And yes, somewhere between a three and five ply would be good. I just checked some Wool of the Andes Worsted and it is four plies.
I would suggest:
Less expensive option for worsted spun: Wool of the Andes Worsted (non-superwash) or, if you want a traditional cream colour, Wool of the Andes Worsted Bare (undyed, comes in larger skeins, bit cheaper)
Less expensive option for woollen spun: Briggs & Little Regal or Heritage (really nice quality and wears well)
More expensive option: Barrett Wool Co. Has woollen-spun and worsted-spun options. But I haven’t tried their yarn myself.
With any yarn, it would be a good idea to purchase enough to make a hat to test it out before doing a sweater.
Sorry if I posted too much info. I think I need to get a job in a wool shop! I do a lot of fantasy shopping from here in Australia. Even though we have a huge wool industry, most of it is merino that goes to be woven into fine cloth in Italy or China, and our handknitting selection has suffered in recent years.
Happy knitting! Do come back and show us your sweater!