I agree with the merino wool sentiment. I've had synthetic long underwear and they just aren't the same. Merino wool breathes well but also keeps you warm, and takes quite a lot of wearing to get stinky.
I also agree that it gets pricey, but if you're able to hunt sales the extra dollars are worth it. Especially if you plan on using them a lot in the future. I got 100% merino wool long underwear from LLbean last year for around $45, and got some for my wife from REI this year for about the same. They'll probably last for many years, so I'm ok with playing the premium. We use them backpacking, winter biking, and just walking around the city and they are amazing.