Cycling in Melbourne Australia
Good advice here - my .02 (from selling most of the above to cyclists)
Polypropelene - warm, high wicking, low moisture retention - ranges from being very good to extremely good depending on the quality. Some are low enough on water retention to wear almost out of the spin cycle from the washing machine. Reasonably hard wearing. Better ones have anitbacterial (anti pong treatment permanently built in) higher wicking and warmer
Wool - definatley warmer, naturally thermo regulating i.e. adjusts heat levels with your temperature and disperses heat so you don't get hotspots. naturally anti bacterial - downside is high water retention and some require careful washing. The Merino - base is probably referring to "Merino Skins" which is a pure wool thermal from an Australian manufacturer who also sells around the world
Hybrids like helly hansen Warm range have both - and the polypropolene in this range is acutally hollow so you get extra warmth (like polar bears and possums p.s - great party question - what do polar bears and possums have that no other animal does?? - hollow fur) which also gives increased wicking
Other brands do other things Santini does its Lura Magic (from Dryarn - I supect an Italian polypropolene of good features) with differential weave and thickness to focus heat where a cyclist needs it most.
Netti - do a good wool synthetic mix (they call it wool but you can feel some synthetic in it) this means it would keep its shape better
Like most things try it an see what works for you!! - and no pair of thermals will go to waste!