Well, natural fibers like cotton, linen, flax, and bamboo are probably better if that's what you're looking for. You can look for recycled or organic. There's also soysilk yarn, which is made from the byproducts of the tofu industry.
I'm struggling a little with acrylic. I like it, and don't think it's all bad, but I've heard that it has an impact on the environment. I've never seen any writing that shows just what that impact is.