Merino wool socks that aren't too thick work the best for me. In particular, I love the Kirkland brand merino trail socks from Costco. They are warm, comfortable, inexpensive, and remarkably durable. I think I must own about a dozen or more of these:

Review here: Kirkland Signature Men?s Outdoor Trail Socks

And when it gets really cold out, these are a must:
https://www.mec.ca/en/product/4016-236/Toe-Warmers