yeah.. wool is the best. As is Sweden! I spent 3 months there this Spring/Summer, actually.

I need to get some more wool clothes.
I have a really thin toque type thing made by Sugoi that keeps my ears warm. My cycling jacket is a MEC one that's kind of a shell-meets-lightweight-fleece job. Warm enough for these temps without being too warm. I wish it had pit-zips though.
Like I said, I'm quite happy on the road, it's when I get off my bike that I freeze.