I just want to give you my perspective on your allergy troubles. Unfortunately it may not be as easy as everyone describes here.
I also have allergies and knew it was probably the hay. I tried different hays but couldn't figure it out. I had Timothy, sneezed and itched. I switched to a bag of Orchard from the pet store and no more problems! Great, right? So then I ordered 20 lbs of Orchard from Small Pet Select. I started using it and within a few days, my eyelids starting swelling! And I mean both eyes, upper lids, lower lids, even the bridge of my nose. It was impairing my vision it was so bad! I went to an ophthalmologist and he prescribed a steroid cream to bring down the swelling (which it did).
So I then went to an allergist and had testing done. Turns out, I am very slightly allergic to Timothy, moderately allergic to Orchard, strongly allergic to bluegrass, and SEVERELY allergic to several molds that commonly grow in hay. If you notice, this is contrary to what everyone is saying above. I've brought this up before here and a few others have responded to say they also have mold allergies. My point being, you need to figure out YOUR specific allergies. You MIGHT be able to do that by switching hays, but you will never know if it is the TYPE of hay that's the problem or if that particular batch of hay has MOLD that's causing your problem. For me, the allergy test was the only way I was ever going to figure it out.
Good luck, I hope you are able to find a hay that works for you!