If you are on a budget, you may want to check out REI right now. I make no claims of grand knowledge - in fact, up until yesterday the only thermal stuff I have ever used was the old fashioned "dimple" stuff. However, reading this thread reminded me how much I hate being cold, and so I figured it was time to upgrade as hunting season starts next week.
Anyway, I took a gander over to the local REI yesterday, and found that they were having their Winter sale - lots of cold weather gear for 20-30% off. I got a set of their midweight house brand tops and bottoms for $22/ea. For all I could tell, it was identical to the Capilene stuff that I was going to get for 2x as much. Talked to the sales guy, who said there was virtually no difference. Not sure how knowledgable he was either, but if he was simply trying to make a sale, I figure he'd of pointed me to the more expensive (and not on sale) stuff.
I tested them out this morning - took a stroll for an hour or so right around sunrise. It was 34F and very windy. News reported windchill in the high teens, low 20's. I wore the new thermals under just a pair of jeans on the bottom, and a cheapie, thin, not otherwise very warm pullover sweatshirt and an uninsulated, plain nylon windbreaker to help with the wind on top. So... not particularly warm gear - I would have been freezing without the thermals. However, I was nice and toasty with them. Granted, I was moving, and the real test will be out in the woods trying to stand still, but I am optomistic...
Rocko