It all depends on your definition of cold and what you are doing.
I love the look, feel, and tradition of wool, and it's great for certain things. Best there is for heavy exertion in extreme cold, for example. Nothing else comes close to wool pants for walking all day in deep snow.
I have some heavy wool I really like to wear in my tree stand when the weather gets cold. I try to wear it because I like it, really I do, but it isn't nearly close to warm enough for a cold winter day in North Dakota.
For severe cold, I wear merino long johns,wool pants, a wool shirt, and a wool jacket under a pair of insulated Gore-tex bibs, Windstopper pullover, a Windstopper hooded sort of balaclava thing, big leather mittens with wool liners, and a pair of LaCrosse's warmest winter boots. I stick bootwarmers in my boots and handwarmers in my mittens.
I might be better off with a down under-layer rather than wool, but the wool is quiet.
With that setup I can sit for a long time in subzero weather and wind. I don't stay warm, but I don't get really cold, either. It's like sitting in a cold workshop (say 50-60 degrees).