I have hot feet, and rarely wear socks when I am in the United States. In Japan, though, shoes are never worn inside. Socks are a polite way of covering your feet and the Japanese shoe/sock custom is a perfect excuse for buying more sock yarn.
Most sock yarn is, of course, wool, but for hot-footers, cotton may be a better choice. Unfortunately, most of the cotton sock yarn is either very thick, like Cascade Fixation, or contains no lycra, so as soon as you put the sucker on your foot, it bags and sags. Meh.
Last year, I found two sources for a wonderful cotton/lycra socks yarn. It's quite fine, knitting up at maybe 10 stitches per inch. That't a bit deceptive, because it's not so teensy while you are knitting with it, but the yarn contracts into this sqooshy, velvety, springy fabric that is real luxury on your feet.
I've made several pairs with this yarn on #0 needles, and they are frankly my favorites. You need to put on a bit of tension on the yarn--don't stretch it too much while you are knitting with it. Because it's quite different than wool, swatching is always a good idea for the first sock.
You can purchase lovely colorways from Zen Yarn Garden and Greenwood Fibers. Both are Etsy stores and the owners are wonderful.
I made these socks with my generic sock pattern (the very first post in this blog). The upper section of the right sock is feather and fan; the left sock was some invented slip stitch pattern (not recommended for this kind of yarn--it prevents stretching and was extremely difficult to knit).