Actually you can knit with most anything from crochet thread to heavy thick bulky types that would be on something like a #19 needle.
Many people make bookmarks with crochet thread because anything of a higher weight would curl, see image
The other light weight yarns are sock yarn and fingering yarn. Sock is obviously used for socks and fingering is used in many light weight things, but the most common are baby knits.
Look above for the lecture on Worsted under "W" and then we have Bulky, which is a very thick yarn done on very large needles and usually knits up very quickly.
This is just a tip of the iceberg on yarns, there may be more in another day or so. Yarns and needles work together to make the size and weight of item that you are knitting (refer to N is for Needles).