Any base layer should not be a natural fiber. Natural fiber will not breath the way synthetics do and will hold moisture, causing damp, sticky and very uncomfortable undergarments. My personal preference is Under Armor and Arc'teryx. I also have a pair of FirstGear TPG Thermo-Gear pants that are awesome.
Cotton certainly gets soaked and stays that way and can chill you. The Merino wool does, to my satisfaction, what it needs to do. It gets wet, but that does not affect it that much. It dries fast and naturally on the body. It breathes very well. I quite like the natural feel of it. It works for me on the bike, on my bicycle, walking and just hanging around. I find you can wear it as well when it's not that cold.
Oh, sorry for the proselytizing - it was on the way to getting worse. Do excuse me.
Over the merino wool, I wear fleece when needed. And, like others are emphasizing, some layer or layers that cut the wind (and rain).
Ratster seems to have made up his mind anyway, fwiw.
And, quite true Tom wearing tights instead of pants is not for the shy man, once the overpants are off.