Everything I mention below will be worsted weight because you mentioned you wanted something a little heavier.
I have made dozens of socks with wool-ease, but this past Christmas I noticed that their quality is not what it used to be.
If money is an issue, use wool-ease because it will work, it's just not as nice (and not as easy to make anymore because of the quality change). You can often find wool-ease for 2-3 bucks per skein.
If you can afford to put a little more into it, here are some others to try:
Encore is an acrylic & wool blend. It is the same weight as wool-ease, and comes in lots of bright colors. It's also very soft. You can get this for about 5-6 bucks per skein.
Brown Sheep is another great yarn, but it's totally wool. The good thing about that is how warm it is, and what great colors it is. The bad part is that you'll have to hand wash the socks. When you use 100% wool for socks, you should also get some reinforcement thread and when you are working with on the toe and heel you should carry the thread with your yarn.
My absolute favorite sock yarn is Cestari 2 ply. It is wool, but washable so it won't shrink. It'll be about 6 bucks per skein.
Paton's makes a lot of nice yarns that I have liked, but I haven't made socks with that.
Another washable wool is Bartlett, but I have hated that. It does NOT hold up. It wears out terribly.
Have fun making socks!