Actually, it doesn't really matter which exact density you go for - it all depends on what kind of sweater you're picturing :) If you want something thick and warm for winter, look for thicker yarn, around 200-400 meters per 100 grams. Thin yarn like 600+ meters will take forever to knit, and the finished piece won't be very warm. Composition - that's where you really need to pay attention. Acrylic alone holds its shape well, but it doesn't breathe and can pill. Wool is warm, but it can be scratchy if you don't get lucky with the quality right away. I personally prefer a blend - like polyacrylic mixed with wool or wool with acrylic 50/50. It keeps you warm, doesn't irritate your skin, and lasts longer.
If you're a total beginner at knitting - go for acrylic or polyester, they're easier to work with, don't slip through your hands, and mistakes are less noticeable. If you're more experienced, you can take a chance on cashmere or merino - they need more attention, but you'll get an amazing sweater :) Before you buy, feel the yarn with your hands, check if it's scratchy. And look at the label - it should have info about yardage and weight so you can figure out how many skeins you need for the whole thing. Good luck with your knitting!