Are you into active Winter sports? Then you've got to wear a baselayer shirt and pants that are made to both insulate your body heat and wick sweat away from your skin. Ones made out of Capilene are great because they're reasonably priced and very comfortable. Since they're made with polyester, they don't really let your skin breathe. If you're prone to body breakouts, be sure to change out of these as soon as you're done playing in the snow.
Ones made from 100% merino wool are pricier, but in my opinion they are well worth the extra dough. They're made out of a natural fabric that has exceptional wicking abilities. Since merino wool is a natural fiber, it lets your skin breathe and won't stink when you sweat. The one thing that does stink about this material is that if your skin is sensitive, it may feel a little itchy, but washing it a few times should help fix that problem.
It comes down to personal preference and these are some of my favorites made by Patagonia.