I have a couple of merino wool long-sleeved jerseys. They're nice against the skin, regulate body temp nicely across a wide temperature range, and wick away moisture pretty effectively. I can wear a merino wool jersey almost indefinitely in cooler weather, even right against my skin, and it never stinks. (I only washed mine -- by hand -- at the end of last spring before storing it away.) In colder weather, they work well with a good base layer and/or a wind vest or jacket.

By the way, I have a $140 wool jersey from Earth, Wind, and Rider, and I have one of the much less expensive jerseys from Portland Cycle wear, and they seem to be of about the same quality.