Well, wool doesn't smell as much as some of the synthetics
But definitety do not wear cotton. The thing with cold weather and as tourers we should be able to afford the carrying capacity issues is to dress in layers. More thin layers than one thick one. When I winter commute here in NJ, I have been known to wear 4 layers, with nothing greater than a thin long sleeve bike jersey. Use coolmax arm and leg warmers so you can take them off and on on the cooler days. But the idea is that you should be delayering a bit when it's cold out. Initially in the morning, you should actually be a little cold when you leave because you will warm up a bit so you don't really want to start "comfy warm" but work up to it. Of course, conditions apply, if it's raining and cold, then I will usually err on the safe side and wear all my layers (Who wants to stop in the rain to delayer and stuff?)
But on a normal day, when real cold (like below 25degF), I will wear layers and if I do start to get warmer, I will delayer.