Wool is an excellent thermal regulator that allows for maintaining an ideal balance between the body and the environment. Through a process called "heat absorption" the fabric absorbs moisture and retains heat when temperatures are cold and humid. On the contrary, when it is hot through the process of "evaporative cooling" the wool releases moisture giving the body a feeling of freshness. It is a very good thermal insulator since by retaining a large amount of air between its interstices (fiber) it hinders thermal conduction.
All these attributes make wool able to provide us with a warm feeling when it is cold. On the other hand, when it is hot, its ability to absorb and release controlled amounts of moisture allows it to keep the body dry and cool.
The moisture absorption and release properties, combined with the fact that it is a spongy fabric that does not adhere to the skin, leave a layer of ventilation between the skin and the garment, allowing for high breathability.