While I love wool -- especially a wool/poly blend. For a base layer on the really cold days, I find this layering preferable. Base Layer: Silk Long Sleeve Underwear Tops (this stuff wicks, it dries fast, and is very lightweight so you don't feel like you have so many layers on), then I use my Long Sleeve Wool/Poly Jersey (40%/60%), and then some sort of wind proof jacket (with lots of venting zippers for when I'm climbing).

Seriously, check out the silk stuff (you may want to check the Ski section of the store, that's what I originally purchased it for).