Insulating Layers
In cold weather these are the most important layers. Several thin layers that trap air and are made of material that will stay warm, even when wet, are better than a couple of thick bulky layers. The number of insulating layers you wear depends on the weather and the activity you are participating in.
Wearing thermal underwear will also help insulate against the cold. Wool is a good natural fibre but manufactured fibres such as polypropylene and fibre pile are even more effective. Wherever there is a reference to wool, these new fibres will do just as well or better. A cotton skivvy or undergarment performs poorly in cold and wet conditions even when covered by a thick woollen sweater.