I have good experiences with the "Heattech" line from Uniqlo. It's some synthetic formulation of fibers but does it's job quite well for me, at low cost.

If you have a Decathlon nearby, you could try theirs. The basic Wedze thermal underwear - very much not fancy, 100% polyester, but warm and more than OK to wear indoors - is only €6.99 for a pair of pants or shirt. They also carry more expensive items, some of them in wool, and usually much cheaper than other brands.

I use icebreaker brand, made of merino wool. They are among the most expensive, but I can wear the long underpants for weeks without them smelling bad.

I wear a brand called Brass Monkeys - (from the british slang term for bloody freezing - "it's cold enough to freeze the balls off a brass monkey") They're merino from New Zealand. They're great, hard wearing and not itchy. Fit's on the small side though, definitely size up.

I've got a few sets of cheap (low-cost supermarket) and moderately-expensive thermals. They're not marketed or branded for sport etc. but both are equally excellent. The more expensive set is thinner and feels just as effective, but is more comfortable (ease of movement) on days when I am outside and more active. With a set of thin, long socks worn over the thermal layer's lower legs, and thicker long socks on top, my feet are nice and warm if I'm sedentary or active for the day.

Aclima. Norwegian merino (so doesn't smell) underwear, not cheap but not the most expensive at least here in Europe. Several different lines with different levels of insulation. I use the "warmwool" line and it's very warm indeed.

I bought Helly Hansen years ago (ten years already, I guess). I only have thermal trousers and paid around 25 euros, if I remember correctly. The trousers are still doing fine after a lot of use.

depends on your activity level and how sweaty you get. Its critical to not get sweaty. I would go for something cheap if you are using it to just chill at home without much activity.