Wool and polyester are the best two fabrics at keeping the body insulated and keeping moisture out. Polyester is frequently the fabric used in many different kinds of outdoor gear since it is excellent at repelling water.
The best method of staying warm in cold weather is to layer up. There needs to be a thin layer of fabric next to the skin that pulls away moisture to keep the body dry. This is usually wool, polyester or polypropylene. The next layer is intended for warmth, and choosing some kind of down is the best way to insulate. The last layer is for windproofing, and usually a shell or parka-type jacket made of Gore-tex will suffice.