You also need to think about how exactly you're planning to wear this sweater - indoors or outside, because that changes everything. For winter outdoors, you really need warm yarn, preferably wool or wool blends, because synthetic fibers don't insulate as well, even if they're thicker. Merino wool is honestly ideal for winter - it doesn't itch, it keeps you warm and it still breathes.
For the composition, I'd recommend at least 50% natural fiber, ideally more. If pure wool seems expensive or scratchy, then wool mixed with acrylic in a 70/30 or 80/20 ratio works well. By the way, check the information on the label - it'll tell you the yarn weight. For a sweater, look for something in the range of 100-150 meters per 100 grams; yarn in that range is already dense, but not so thick that it takes forever to knit.
What kind of knit density are you thinking - tightly knit, practically felted, or more open and airy? And will the sweater be fitted or more loose? That also affects what thickness you should pick out at the store.