Wool works great for shirts and tights. It's really warm for the weight, doesn't stink, doesn't itch and stays warm no matter how wet it gets.

Drawbacks: it's slightly more finicky to wash (depending on the type of wool), it can be hard to find for cheap and it can stretch out of shape more easily (depending on the fiber blend). Top quality wool stuff is hard to beat but can be really expensive.

Given all of this, polypro still wins for me. Helly Hansen Lifa is my personal favorite.