Wool and Goretex.. two greatest materials out there and wool tops the list since it's natural and proven forever. I hunt the high rockies and never leave home without Wool/Goretex. They are also the only 2 materials I will spend my hard earned money everytime to get them.
I grew up in SW Wyoming in the snow and -40 degree weather. Wool was the #1 choice of the ranches, cow hands, etc. .. well.. that and their Carharts!
The trick with wool -- as mentioned above -- is layers. Just layer it or at least have a layer available. When hunting in the snow, I only use wool pants, etc. but be aware they can get heavy fast, etc.
The sheep seem to be doing fine wearing it! [:@] Dang things out populate Wyoming residents!!!!