I've found quality wool garments to be very helpful. Examples: A thick wool "cable knot" sweater is both warm and highly breathable, ideal for hiking. Wool socks (and/or wool felt slippers when it's very cold) keep feet warm without any of the clamminess (or smell) associated with cotton or synthetics. Merino wool underwear has similar benefits.

The price is higher compared to cotton or synthetics, but it's possible to find good values by shopping sales. The daily rewards of wool (in every season) are worth the extra effort.