It depends entirely on what you're weaving. Unlike most knitting projects, in weaving you can be using two different yarns at once - one for the warp, or the threads attached to the loom running the length of the piece, and the weft, or the threads that run crosswise through the warp threads. About the only two rules of thumb are (1) warp threads are generally smooth, non-stretchy, high-strength yarns (sock yarns work well) and (2) weaving eats up a lot of yarn.

Good luck!