As said, wool has been around a LONG time and works well. Like MANY things, quality makes a big difference.
Back when I did a lot of skiing and was out in extreme conditions, I tried silk (worked well but stretched out quickly), wool (worked well but retained moisture, needed more effort to wash and dry) and synthetics became my favorite.
There was a brand called "Thermax" that was excellent as well as Patagonia. It feels good next to skin and is the easiest to wash and dry. In dry climates like the Rockies, I would wash it in the evening and hang dry by morning.
Some "high tech" brands are multi-layer passing moisture away from skin to an outer layer.
It is a matter of personal preference, one material vs. another though.
Peter