Wool is an excellent thermal regulator that allows you to maintain an ideal balance between the body and the environment. Through a process called "heat wicking" the fabric absorbs moisture and retains heat when temperatures are cold and humid. On the contrary, when it is hot through the process "evaporative cooling" 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 makes thermal conduction difficult.
All of these attributes mean that wool can give us a warm feeling when it's cold. On the other hand, when it is hot, its ability to absorb and release controlled amounts of moisture keeps the body dry and cool.
The property of absorption and release of moisture, added to the fact that it is a spongy fabric that does not adhere to the skin, leaves a layer of ventilation between it and the garment, allowing high breathability.