The properties of wool depend an awful lot on the breed of sheep, the climate, how high they live (lowland or highland sheep produce very different wools), how the sheep are reared, when the sheep are shorn (e.g. lambswool or not), the length of the fleece, how the wool is treated and so forth. You can generalise but two wools of the same kind can be drastically different - shetland wool, for example, can be very coarse (often used for tweed) or ultra-fine (used in hand-knits or for baby clothes).
When looking to avoid itchy wools you need to go for finer wools with longer fibre lengths without too many fibres sticking out (one of the reasons mohair can be very scratchy). This can be very hard to assess online though and isn't entirely worth the hassle. If in doubt stick to wools you know like decent merinos. Itchy or coarse jumpers soften up and become much less of a problem with wear so it can just be a case of "breaking in" the outfit. It's also possible to soften them using tricks (e.g. hair conditioner, apparently) but that seems excessive. I'd always wear at least a t-shirt or undershirt under a jumper for a bit of comfort.