I have wool socks, gloves, a wool cap, and a wool jersey - all great. But my experiments with wool pants and knicks haven't been positive, they tend to wear out quickly at the seat and I've found that they retain too much heat for the typical wintertime temperatures here. Above 10° or so they make my lower half sweat too much, below that they're useful, but unless it's below zero I find that cotton slacks under rain pants is a more comfortable combination for commuting. For recreational riding I use tights, sometimes with a pair of shorts for an extra outer layer, or leg warmers or longer socks, but never long pants.