We get this question a lot. Sometimes it’s because our client wants a specific color; sometimes it’s because they want a specific look; sometimes it's simply a very insightful question. Usually our answer is, “It depends!”
What does it depend on most?? More than anything, the project you are working on.
One key issue here is that yarn weight is often used as a shortcut way to refer to gauge. (And sidebar: they have arbitrary, goofy, and confusing names!) But they are NOT the same thing. Nearly any yarn can be worked up, in theory, at nearly any gauge. But only a small subset of gauges will be pleasing to feel and wear. A super bulky yarn worked up at a sock gauge would feel like wearing a cast iron skillet on your foot. A lace yarn worked up at 1 stitch per inch would be mostly hole and very little in the way of fabric.
For this reason you'll often see a recommended gauge listed on yarn ball bands. That's the gauge range where the manufacturer thinks the yarn will be most pleasing to most people, as well as perform the best. Gauge is what your pattern will call for. What kind of fabric you want is up to you as a knitter or crocheter.
WHEN FIT IS NOT AN ISSUE
For some things like shawls or blankets, fit isn't an issue. For these projects where a precise finished size isn't important, exact gauge isn't the end of the world either, and so changing the weight of yarn recommended for the pattern may not be such a big deal. If you go up or down a weight of yarn, you can often still get something close enough to gauge to suit your purposes.
As a general guideline: If you use thinner yarn and smaller needles, your project will generally be smaller. Conversely, if you use thicker yarn and bigger needles, the project will also be sized up.
To avoid those effects, you get into altering the pattern. That is doable, and even enjoyable depending on your feelings toward math, but can also be time-consuming and error-prone. It's a good topic to take to our Knitting Studio class or Crochet Studio class or a Private Lesson.
WHEN FIT MATTERS
If you are making something that needs to fit a specific size - think hats, gloves and sweaters - yarn substitution gets trickier. Only the exact gauge called for in the pattern following the exact instructions in the pattern will reliably get you the finished size you want.
The key here - as always - is gauge. If you prefer a dense fabric, you may want to use a thicker yarn to achieve the same gauge. On the other hand, if you want something more thin and drapey than reflected in the pattern, you may prefer a thinner yarn worked up to that same gauge.
If you aren’t afraid to do some math, it’s still doable to change yarn weight and gauge. But it will mean math and perhaps rewriting the pattern. You just have to pay attention to your gauge and calculate what that will do to your size. And, again, consider a private lesson or our Knitting Studio class or Crochet Studio class. If math isn’t where your heart lies, sometimes it's easier to keep looking for the right yarn...
So - we end up where we started. It depends! If the finished size of your project doesn't matter, then the world is your oyster. If you fit matters, then gauge is the key to getting the results you want from the pattern you've chosen. If the gauge is going to change, well, either snuggle up with your calculator or ask a Twistedista to help brainstorm ideas for a yarn that will better match your pattern's gauge. :)