I prefer to keep a couple waterproof, windproof fleece blankets from "River's West" instead of wool or sleeping bags. They are more rugged than either, easier to maintain, and will do the job in the worst foul weather.

Unless the bulk is a problem (which would be the case with a sleeping bag or wool blanket as well), there's simply nothing better. If bulk is a concern, grab one of those new bivy bag emergency shelters.

In fact, I prefer to keep a full ATP/ATJ suit with me on the road during the winter months. I keep a duffle bag packed with emergency clothing in the rig; enough to keep me cozy in cold colorado winters, even if I have to abandon the vehicle and walk out.