Depending on where you are and how cold the rain is, wool can be very advantageous.
Here on the coast, once winter sets in (read: lots and lots of rain), wool as a base layer will keep you feeling warm, even when wet.
Another thing that I use quite a bit in winter, both here and when I was in Toronto, is a buff. It's basically a long, micro-fibre neck tube that you can fashion into many different versions of head and neck wear. Anyway, I hate getting a cold neck, and it works great for keeping your neck warm and dry in rain.
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Life is either a wild adventure or nothing - Helen Keller