I wear a normal sports bra (synthetic) and thin wool baselayer, followed by other wool layers (as needed) and a windstopper jacket with pit zips. This is my standard setup for temperatures ranging from around 40F to -5F.
I don't know that a wool bra would be worth the money. It's a pretty small area of the upper body. For me, it's the wool layer and pit zips that make a huge difference: when I get hot, I can just pull a few strings and viola! instant relief. I like to do a bit of hill training in the winter, so sweat happens.
The lower body is less of a problem for me, but I tend to go with rain pants, just because I already have them and they seem to do a fair job at blocking wind on the coldest days.