Only experience I have had is with either the old-fashioned cotton thermals and polypro. The cotton worked fine until it became the least bit damp, then it was just cold and uncomfortable.

Poly-pro seems to work well with 2 cautions, after a couple of days it really begins to stink and it seems to loose it's effectiveness. I usually pack at least 3 pairs for cold weather: one for sleeping, one for wearing, and one to be rinsed out.