I'm well versed in the art of layering, as I have gnat's pee for blood. What fabric is the warmest, preferably that comes in a thin garment so that I can layer?
I just love natural wool. Merino is so very soft, and can be knitted into whatever you want. Linen can also be nice and warm when layered, and is good at absorbing sweat.
I like to use several fabrics together. I have cotton against my skin, with wool or fleece next. On the outside I use something that is wind and waterproof if needed, or just wind proof if it's dry. If it's really cold, I use two middle layers.