ORIGINAL: alagnak
Not only does cotton not retain heat when wet, it will actually sap heat from your body faster. Plus, heavy denim takes longer than just about any other substance on earth to dry out, IME.
This is an important point. It is very possible you will get wet elk hunting. It is a good idea to use clothes that dry out quickly. On my one hunt I was in a hotel nightly, and I found that my wool clothes and polypropylene inner layer dried out completely over night in normal 72 degree temperature in the hotel room. Cotton would not have dried out over night. If you are hunting from a camp, you aren't going to have access to a clothes dryer, and wool/synthetics are going to dry out better than cotton overnight in the camp situation.