I have, for a long time, done rather a lot of knitting from yarn directly off of cones, which is maybe a bit weird or at least uncommon, so I thought I'd elaborate a bit more:
- Theoretically a cone of yarn, which often contains at least 250 grams or more of yarn, has fewer breaks in it than you'd have with an equivalent weight of yarn packaged in skeins or balls. This isn't always true, as cones of yarn do have breaks, sometimes, but if you have a construction that doesn't require you break the yarn very much you can probably save a lot of weaving in by knitting off of a cone.
- Cones of yarn are often not quite ready for use: most often the yarn hasn't received its final wash, which often means that the spinning oil is still in the wool. This is potentially only true for yarn that's undyed or dyed before being spun, and not the case for yarn that's dyed after being spun. It's also likely the case that the yarn will be wound onto the cone slightly tighter than it would be otherwise. The effect is that the yarn will be a bit limp relative to it's final state. The color can also change a bit. You can knit with the unwashed yarn, but know that the final product will require a bit more washing, and the texture can change.
- Typically the kind of yarn that's available on cones is boring, which is to say that there are less varieties in general but also of different colors. I think this is actually a great thing: knitting in more plain colors and simple smooth yarns draws attention to the knitting itself, which is often my goal.
- Cones of yarn feel like buying yarn in bulk, and buying yarn by the pound or kilo (!) means that you can really get a feel for the yarn and it's behavior and knit with it for more than one project. Make a few sweaters, or many pairs of socks. See what happens!
- Because yarn on cones is often used as a method of distributing undyed yarn to dyers in bulk, you can select materials on the basis of fiber content in a way that can be difficult when you also have to balance color considerations.
The clear solution to this problem is, of course, to wind the yarn off the cone into a hank (typically using a niddy nody or similar,) avoid tying the yarn too tightly, soak and wash the yarn gently with wool wash, and then hang it up to dry, and then wind it back into balls. I never do this. I should, but realistically I never do.