In college decades ago I wore a beautiful wool turtleneck on really cold days (down to 0F). I had purchased it in Denmark - it was hand-knit with undyed unbleached wool from beige or brown sheep. The wool had a high lanolin content so it was relatively water-resistant. It was kind of scratchy and too hot to wear indoors so I put a [cotton] turtleneck under it. My bike rides were very short commutes so I was not riding more than 30 minutes at a stretch. I also had a "snorkel parka" on top so I was still toasty during snow and wind. It must have been a sight.
When I moved to TX, the movers "lost" the box my winter clothes were in. I did find an actual wool sweater in a thrift store here once, but most sweaters around here are cotton. I had a comfy 33F drizzly 2-hour ride wearing that medium-weight sweater under a cycling rainjacket with rain pants over cycling tights. Then I made the mistake of drying that wool sweater in a clothes dryer, which shrunk it from XL to XS.
Wind/water proof shells ... the jury's out. They do keep the you cleaner (roadsplat) and pack small. Pit zips help a lot. As long as I'm moving they will keep me warm even though I'm sweating underneath. But when I stop pedaling, I still can get very chilled very fast.
Wool socks rock. I had a very comfortable 2 hour ride wearing DeFeat Blaze wool socks with my Keen bike sandals starting in low 40's F temps. It was much warmer than synthetic or cotton socks in my ventilated too-snug MTB shoes.