Can you provide more information on what you're looking for? What fiber (synthetic, wool, something else)? What weight (laceweight, sportweight, DK weight, worsted weight, bulky)? What price range? What sources do you have access to (Michael's, Hobby Lobby, local yarn shops, and so on)?
It would help me to help you if I knew what image of "yarn" you have in your head.
Edited to add:
Okay, you want an inexpensive acrylic yarn, either sportweight or light worsted.
My first recommendation is I Love This Yarn - sport weight (category 3) or worsted weight (category 4). I Love This Yarn is the house brand for Hobby Lobby. I've used it for years for scarves, baby blankets, baby clothes, and so on, and I find that it works up nicely and washes well. It stays soft for years. It's certainly affordable. It comes in a variety of colors, both solids and multis.
I Love This Yarn - Sport: http://shop.hobbylobby.com/needlework/yarn-baby-and-sock-yarns/tlc-amore/default.aspx?F_All=Y
I Love This Yarn - Worsted: http://shop.hobbylobby.com/needlework/yarn-worsted/i-love-this-yarn/default.aspx?F_All=Y
My second recommendation is Premier Yarns' Serenity, either sport weight (category 2) or worsted weight (category 4). The Serenity line is super soft, thanks to being 45% acrylic and 55% nylon. It feels good while working it and wears well. It comes in a variety of colors, although a given store (Michael's, A.C. Moore, etc.) may not carry all the colors. It's available via mail order.
Serenity Sport - http://www.premieryarns.com/yarn.php?id=122
Serenity Worsted - http://www.premieryarns.com/yarn.php?id=123
My third recommendation would be Caron Simply Soft, since you mention that you like it. I find it thin--it's sort of between category 3 and category 4 in weight, which might be an advantage if you prefer the lighter weight. It has washed well for me in the past, although the highest dryer heat it can take is "Low," and I prefer to hang it to dry. I have a baby blanket going right this minute in rainbow colors, so it's definitely available in a wide variety of colors. Other options include the lighter weight Simply Soft Light (category 3) and sparkly Simply Soft Party.
Simply Soft - http://www.caron.com/color_cards/cc_simplysoft.html
Simply Soft Light - http://www.caron.com/color_cards/cc_sslight.html
Simply Soft Party - http://www.caron.com/color_cards/cc_ssparty.html
As far as the yarn untwisting itself while you work with it: I prefer using the center pull option for working with the skein of yarn. If that doesn't solve your problem, you might want to rewind the yarn (using a mechanical ball winder) so that you can center-pull the yarn. That way, it moves around less in the working process and is less likely to untwist itself.