SAY NO TO COTTON, SAY YES TO SYNTHETICS

From WildWiki

Cotton is bad because when it gets wet it doesnt dry quickley and will keep you wet and cold, which can increase your chances of hypothermia. The only place cotton is acceptable is in your underwear, but it would even be more comfortable not to have cotton in your underwear.

Synthetics are good because they dry quickley and keep you warm. Be careful though because they are very flamabble! Some good synthetic material includes, spandex, nylon, polypropalene, capilene, etc...