I would suggest a skin patch test if you're concerned about skin allergy reactions, considering most dyes DO recommend you do a skin test 24 hours prior anyway. This is especially true of the darker colors. The darker the dye, the more pigment it will have and the more likely it will cause an allergic reaction. If you're allergic to henna, you will probably be allergic to brown and black dyes, as they contain similar compounds. I have a very slight reaction, and that is that my head will feel itchy for a couple of days after dyeing it, so I make a conscious effort to not scratch. I tried powder dyes from Bigen and these covered extremely well, but I had more itching with Bigen than I do with my current dye, which is the John Frieda foam. I love the foam, I have only used it once but it is so quick, easy, and fail-proof! It sits there without dripping. It came off my skin easily, which was a concern since I use a shade of red and had red ears and red all over my face. Mind you, after having the dye in my hair 30 minutes, I was REALLY worried my face and ears would be permanently stained for days, but it came off! Just in case though, I recommend using cold cream around your neck, hairline, and ears, or you can use vaseline, and this will ensure the color doesn't stay on your skin, unless you use jet black, which is extremely difficult to remove (trust me on this one).
The hairdresser who cuts my hair really liked the color, although I have been every shade you can imagine (dark blonde, platinum blonde, caramel, copper, blue black, brown black, chocolate brown, light brown...), and she said all shades look nice, but she liked that it looked very subtle and rather natural, it's brown but in the sun or under bright lights, it has a mahogany glow to it. My grey/white streaks have a bit more red/purple since they caught the dye better than my naturally mousy brown hair, so it kind of looks like I have tiny highlights where the greys used to be, making it look more natural. I would have liked my hair to have been redder, but the color swatch on the box was inaccurate, as my hair was not nearly as reddish/purple as I was expecting and wanting over all, even though the picture showed dark brown hair turning auburn. This is another point, don't always trust the color swatches, and if your hair has any bit of orange or red, stay away from light blonde or you will have cheddar colored hair.
I think you may want to try a semi-permanent dye, which washes out, until you find THE shade you want to stick with. Someone at Sally's Beauty Supply can point you in the right direction in terms of semi-permanents and how long they can stay in your hair.
If you have sensitive skin, try to stay within your color, because bleach can cause rashes. I had my hair professionally bleached once and had blisters, sores, and scabs for months. I was scared because I could not brush my hair without my scalp bleeding, and every time a scab fell off, 8-10 hairs would come off my scalp with it, so beware of strong bleach and leaving it on for too long.
Have you considered highlights? It can help make the transition to color easier. A few subtle highlights around the crown can amp up your look without being too drastic, and you can just get more and more every time you go back every few months until you end up with a full head of highlights in the color you like, or you can even combine several shades so you have highlights in different hues within the same color family.
