As cotton for Summer, wool should be the best for Winter.
And it was this way until the marketing of the big ones give pressure on final consumer to buy only cotton all year round.
There is obviously a reason for that : to avoid all the complains of people washing the socks in the wrong way and have them shrunk.
But if you wash 30 degrees and no tumble, nothing is more comfortable than light Merino wool for Winter time.
Wool is keeping the body temperature and you can wonder why some people are wearing light wool cloths also in the desert..