I'm sold on high quality fleece and synthetics that don't absorb water or moisture. I have quite a bit of Patagonia, NorthFace, REI fleece in different weights that allows layering, does not absorb water or sweat. Its lighter, more flexible, quiet and if it does get water on it, it will dry out and keep heat better than anything. Last thing I want out hiking is weight. A good goretex or dry tex wind breaking cover is good.
I still wear a down parka when its ultra cold and I'm pretty certain rain or serious dampness isn't going to be a factor.
The one advantage to wool is its fire resistance. If you have to go with wool go with Filson. Love my double makinaw coat for around town. I'd sure hate to get it wet though - it would weigh a ton.
Above all stay away from cotton. Had another good example of that yesterday. Shoveled out the drive and got real sweaty while wearing a cotton T shirt. The put up Christmas lights and other low level activity. Got chilled with the damp shirt and never could warm up- that damp shirt just sucked the heat out of me - even inside until I changed shirts.