Socks are WONDERFUL knitting--practically everyone can use a pair (or ten, or twenty), they're very easy to carry around and knit a bit here and there as you go about your day, they're easy to modify once you get the hang of it (for instance, mine have extra-padded stitching at the tops of the toes and at the back above the heel, which is where I tend to wear through socks), and sock yarn is, while not cheap, widely available and often on sale.
That said, people are steering you right here. If you don't use wool, you are likely to end up with socks that simply don't function as socks: either they won't go over your heels or they puddle down into your shoes. Or both!
You're smart to think of the first pair as just practice, though I wouldn't necessarily jump all the way to chunky yarn (the most unmustachian of all yarns--very expensive and very, very high cost for your time!)--perhaps a nice sportweight, something that could be a good boot sock if it works out right.
For affordable sock yarn options, try the usual online suspects: Knitpicks.com, yarn.com, and so on. You'll want about 100 grams for a pair of socks, maybe 150 grams for someone with very very large feet.
Also, knit your socks TIGHT. Not pulling tight, just much much smaller needles than you would use for the same yarn if you were making a scarf. Fingering on US0/2MM, sport on US2/2.5MM, along those lines. Otherwise they'll have holes in them by the end of the first week, if not the first day. Knit them nice and tight and they can last for years.