Everyone’s version of itchy varies … my hubby loves Lamb’s Pride and Cascade 220 scarves and hats. I don’t buy a lot of yarn on line, but that will give you some brands to look at. I find Merino/silk blends or alpaca/silk blends to be a little softer and yummy feeling, but again, I buy locally so I guess I’m not that much help.
Knitpicks.com has a lot of different choices and some of them come in a ton of colors. I checked out a few and saw those colors there.
Also, Patons Merino Wool has those colors, they have black and white, and have a couple different shades of blue. They have it at knitting-warehouse.com for a pretty good price.
If you are terrible worried about itchy, try plant fibre instead of animal. Cottons and even bamboo yarns come in many yummy colors and feel very silky against the skin. What you give up in stretch you may gain in vibrance.