There are many synthetic fabrics that retain heat when wet. Pretty much any of the synthetic stuffings in a decent sleeping bag will retain heat when wet, which is why I use synthetics instead of down in wet climates.
Wool is not the best at wicking, so a combination of synthetic and wool will wick moisture away from your body (synthetic) while still regulating temperature and odors (wool). In a jacket, wicking is obviously not a concern, but a blend should still be fine. I personally prefer 100% synthetics for jackets because of their weight and performance advantages, but a nice wool coat is always good to have on the coat rack. Get one with a wind blocking liner though. Insulation is no fun if the wind will cut right through the coat.