I wear a thin merino sweater as a base layer, and a thick cotton sweater over that in the extreme cold. I find cotton is just fine for an outer layer as long as I have wool against my skin.

That said, I was in a store selling athletic wear a couple weeks ago, and they had medium weight merino shirts going for $200. But with a bit of shopping around I found a merino sweater at The Gap for $40, pretty similar in thickness. It does nicely as a base layer.