If you live above the snow level, you become something of an expert on underwear. Before I traveled up above 6,000 feet, it wasn't something that interested me much, but after my first week of sub-freezing temperatures the subject took on some importance.
When I was very young and the houses in England were mostly not centrally heated and we tried to keep warm with coal fires, our mothers used to bind us up with a device called a Liberty Bodice. Does anyone remember those? They were thick T-shirt things with no sleeves and they had funny little metal edged buttons on them. It had to be cold to wear them. Can you still get them over there, I wonder?
Up here, come September, the shops sell the regular type of "Thermal" underwear. It's a thickish item with little squares in the weave. You can get them in a variety of colors and they have them for top and bottom. No matter how carefully you wash them though they will shrink over time.
But the best to keep you really warm is make of silk. Not cheap - usually about $25 each. They do the job and there is nothing better in the cold. You can even get double layered silk ones in speciality shops.