if you're going to do the layer thing, then high-tech wicking synthetics are the way to go for the first (underwear) layer; I like Thermax, wicks well, keeps me warm, and doesn't get stinky like plain polypro sometimes does.
for the insulation layer(s), either wool or synthetics are fine. synthetics are typically lighter in weight, wool typically more durable. I often wear a wool shirt (Pendletons) and a fleece hooded sweatshirt.
for wind- and waterproofing, Goretex or equivalent is the way to go.
sock-wise, I like Thermax liners and wool/synthetic outer hiking sox.