Cool or cold? There's a difference. Cool weather I like to layer. I prefer all synthetics for "cool" weather. For cold weather, I agree with Toadmeister, Merino wool as undergarment with cycling-type fleece 1/4 zip or full zip plus a wind cutter breathable fabric jacket. Even in cold weather I sweat and need to have some place for the sweat to go or I ultimately get cold from wet clothes.
The trick for me is to stay warm enough that I'm not shivering yet cool enough that I'm not sweating like a pig. That's where the layering and zippers come in to play.