No material is perfect for all conditions. But, if you might have to deal with cold, heat, rain, snow, sleet, wind, sun, rough terrain, and/or fire, you cannot beat the performance of woolens. Wool is also ultra-quiet, non-reflective and extremely durable. Its resists stains, wrinkling, water, odor, fire and arcing. Wool is even considered by medical professionals to be hypoallergenic since it is protein based, like hair and nails. And seriously good woolens are also extremely comfortable and luxurious.
For lots more information on wool, the cold and sheep, please check out WeatherWool.