I greatly prefer the Lion Brand Alpine Wool Yarn for these stuffed animals. The lamb is great in Vanilla. The lion is great in Cinnamon.
Amazon has the yarn for $8.29 as does the Lion Brand website. But JO-ANN Fabrics has it right now on their site (not in stores) for $5.24 a skein. Awesome! They don't have the colors I prefer for stuffed animals, only Chili, Olive, Blueberry, Bay Leaf, and Black Pepper. But it's still a great price for thick pure wool yarn so if you want colors for hats and scarves in the fall, maybe stock up now!
Their tweedy colors (Barley, Oatmeal) are not 100% wool, though. So be aware. Lion Brand also made a nice organic 100% cotton yarn called Nature's Choice, and I liked their Strawberry color for the Pig and Espresso for the Horse. Now discontinued. It's so hard when you find things and then they disappear!
I've never found a really nice thick grey yarn for the Elephant. I have had students use Paton's Classic Wool Yarn in Dark Grey, but the stitches are a bit too loose with their handmade needles and the stuffing comes out.
If anyone has recommendations, I'd love to hear them! I would also like to hear from people who are using yarn from smaller suppliers.
I realize that there are no really good reviews on Amazon for A First Book of Knitting for Children, so I will write one in the next day or so. By "really good," I mean a nice specific review that lists the exact animal patterns included. I always find that sort of thing incredibly helpful. But I will just quickly say here that this is the #1 best book for teaching your child to knit and I do recommend you use the "knitted cast on" for best results. I make the slip knot and cast on for the child for the first project, make the slip knot and show them the knitted cast on for the second project, and show them how to make that initial slip knot for the third project. And they are totally independent from there on!
A basket of wool stuffing is good to have in the classroom, or washed sheared wool and wool carders. I did the latter. Once when my kids were going through my wool so fast, I brought them some angora for a change. They loved that!
This book includes a doll made only with knit stitch, as well as a boy and girl using knit stitch and purl stitch. Plus lamb, lion, pig, elephant, horse with knit stitch only and cat, chicken, and sea otter using knit and purl stitch. Making a striped ball, knitting ribbing, making a pompom, and making your own wooden knitting needles are also included, as well as knit stitch verse, purl stitch verse, casting off verse, undoing a stitch, undoing a row, recovering a dropped stitch, shaping your knitting by decreasing, changing colors, sewing up, and stuffing projects.