I hunt in nothing but wool up in Alaska. It will keep you warm when wet. You can usually get some cheaper wool stuff from SierraTradingPost.com. The technowool stuff is very nice, light, and YOU can wash it. Some of the Columbia wool gets pretty bulky.

All wool is heavy, dries slowly, and is not particularly comfortable. Fleece is lighter, less durable, and more comfortable. I think wool cuts the wind better and it is very tough stuff. It also does not stain readily, which comes in handy when you are in the bush for ten days with one change of clothes.