I bought Icebreaker Marino wool top and long johns for winter hill walking, and I use em on the bike too.
Very light, thin, breathable and of course amazingly warm can wear em for days on end and they don't smell much. I think there are three grades available, I got the medium weight.
Expensive, but it's the best stuff you can get and will last donkies years.
There are other brands of Marino wool such as Smartwool which is good too. Marino wool winter socks are brill too.
And if you hate wool, well I do too, but Marino wool is like no other wool you have ever worn.
Right now it's boiling though.