I grew up and still live in Minnesota.
I wore wool for 40 years, wore the different poly pro materials for 10 years, and am now back to wool.
The poly is very good, the wool is better.
The wool gets to a certain heat and then seems to hold at that point. neither too hot nor too cold. It is better than poly in that regard. However, I found myself peeling off layers when I used to snowshoe. That is a high heat activity! They both need wind breakers in below zero windy weather, but poly needs it more than wool. Wool is however heavier all things being equal. The bottom line is still dress in layers and be ready to peel layers before you sweat.
Also, pure Austrailian lambs wool for one piece long underwear is pure heaven. Beats anything else I have ever worn. You will need to get a loan at your local bank if you're not pretty well fixed.
Poly usually wins the price war unless you need to have the "correct" label on the clothing.
Enjoy the outdoors, there's getting to be less and less of it.
Williek