First I tried a true worsted weight yarn. (I'm pretty sure this is a Fleece Artist yarn but I can't remember what the base is, there is some mohair in it.) Here it is straight off the loom:
Next I tried a DK weight yarn. This is Cascade 220 Heathers. The Heathers in the 220 line knit up at DK weight while the solids are more of a true worsted. This was easier to weave than the first yarn, but it got more difficult at the end. Here it is fresh off the loom:
The next yarn was a sport weight - Malabrigo Arroyo. Sport weight and DK weight are very close size wise, with sport being just a little bit finer. This was easy to weave and much more pleasant to work with than the first two yarns. Here it is after weaving:
Finally, I tried a fingering weight yarn. I don't remember the exact details of the yarn, but it's a Fleece Artist yarn again. It was super easy to weave. Here it is straight off the loom:
After all of this, I can now say that I think worsted weight yarn is too heavy for this loom, and while the fingering weight is beautiful, it's not practical for anything I would use it for. The sport weight yarn is my favorite, but the DK weight yarn was also nice and could be good for a project where I need a bit more firmness. Just as a note, the edges on all four squares look looser than the middles - that's where the yarn wraps around the pegs and you use those loops to sew the squares together for your project, so I imagine they tighten up after joining. Also, I should note that the sport and fingering weight yarns were superwash while the worsted and DK yarns were not. All of the yarns were wool or wool blends but again, I wasn't 100% consistent. I didn't follow perfect scientific method, but it told me what I wanted to know!