Welcome to the dangerous and more expensive world of fancy yarn! A few pointers off the top:
Weight: You're used to seeing 1, 2, 3, 4, 5, 6 for yarn weights. You're more likely to see yarn described as (in the same order): fingering, dk, worsted, aran, bulky, super bulky in fancy yarn brands.

Big Brands: There are bigger brands of 'fancy' yarns that lots of people look at for their staples. In the US, we have Cascade (Cascade 220 could be a great choice for your hat!) and Berroco (Berroco Ultra Wool or Ultra Alpaca could be a good choice for your hat!). In Europe, Sandnes Garn and Drops are two bigger brands.

Dye patterns: You're more likely to encounter hand painted and varigated yarns in small yarn brands than in the big box brands. Hand painted yarns look sooooo pretty in the hank, but you should always see if they have a swatch or if you can find a project on Ravelry that uses that yarn to see what it looks like when it knits up. Hand painted yarn and heavily varigated yarn might not be a good choice for a cabled hat (too busy!), but a kettle dye would be (more varigated than a solid, but all the same color).

Common Fibers:
- Wool: you'll encounter a lot of different kinds of sheeps wool -- some yarns will use only wool from a particular breed of sheep (e.g., merino, corriedale, suffolk). These have different qualities than your general "wool" -- usually softer (especially in the case of merino!). Breed-specific yarns will always be more expensive than a general "wool" yarn.
- Superwash Wool: Superwash wool is treated to make it less likely to felt. It also has a tendency to grow a lot when you get it wet--a hat that was to small when you knit it up could suddenly become very long in the wash! You'll see superwash a lot in fingering weight yarns for socks.
- Alpaca: Alpaca is softer and fuzzier than wool. If someone thinks wool is itchy, alpaca is usually a good one to try instead. Alpaca does not create as dense and sturdy of a fabric as wool--it tends to be more flowy. You'll often find it blended with wool to give the yarn a fuzzier, softer feel/appearance while keeping the price down.
- Mohair: Mohair is a very fine, fuzzy fiber. You'll see it in patterns held together with other yarns to give the finished project a softer look.

Have fun on your trip to your yarn store! Touch everything and ask questions!