8:50 a.m. on February 14, 2010 (EST)
like synthetics, wool retains a good portion of its insulating properties when the fabric is damp. (i don't care what you're wearing - if you end up in a downpour, none of these will keep you warm until you get to a dry place and wring out the moisture). that jacket you linked would probably be a great alternative to a mid or heavyweight polarfleece jacket.
i agree with others that wool doesn't retain odor the same way as synthetics, but that's usually an issue for the layer next to your skin, less so for a mid-layer. wool can smell "wooly" when it's wet.
like synthetics, wool also dries from wearing it. in my personal experience, it takes somewhat longer for wool (eg a merino sweater or jacket) to dry than a similar polarfleece garment because wool absorbs more moisture.
as a lot of other people have noted, there are several types of wool out there. most people lean toward the wools that don't itch as much due to much wider availability recently.
alpaca comes from alpacas (similar to but smaller than llamas), mostly from south america. it doesn't itch, it's kind of similar to icelandic wool, but it normally doesn't have any lanolin. what that means is that it's hypoallergenic, but IT DOES NOT REPEL WATER like regular wool. because of that, it's usually blended with wool, and that's the rub. you have to figure out if the wool blended in may be prickly/uncomfortable, and whether the garment will suit your needs in terms of keeping you warm and dry.
merino comes primarily from sheep, originally from spain, primarily australia and new zealand more recently, but there are some merino sheep in the US now. it's soft and can be milled so it's hydrophobic on the inside and hydrophilic on the outside, so it wicks moisture. that is good for a baselayer, blended with some nylon so it resists stretching, tearing, abrasion better. it's a great material for socks too.
angora is from rabbit wool and yes, it's a hollow fiber (like silk), so it should be a fair bit warmer, pound for pound, than ordinary wool. it's more conventionally in sweaters, but you could find baselayers made from it if you look.
icelandic wool comes from sheep in iceland. there are two different types, coarse and fine. the outer coat is coarse (it's called the "tog") has more lanolin, more water-resistant, more itchy. fine (the inner coat, called "thel") is more like cashmere, very soft, doesn't itch. the wool you find in most icelandic wool sweaters is a combination of both fibers, called Lopi. it's most easily available in sweaters, but if you look around, you can find icelandic wool underwear and socks. (i'm not familiar with this wool except in sweaters. i have a few icelandic wool sweaters that are extremely warm).
cashmere - comes from goats, specifically cashmere goats.i tend to think of this as a fabric used for expensive clothing like suits, or sweaters better suited to a country club than a trail, but don't discount it for hiking. like icelandic wool, cashmere goats have a coarse outer coat. the stuff we associate with cashmere comes from the softer undercoat. it is a very warm, soft wool. just as good as merino for mid-layers, in my experience. it also tends to be expensive, sometimes obscenely so. if i have cashmere sweaters intended for dress use that get holes or other damage, i start using them for hiking, and they are great.
lambswool is also softer than more traditional wool - I think of this in a similar vein to cashmere. not quite as soft, but still very warm, very comfortable.
Aran sweaters - irish wool sweaters are very water-repellent, tend to be woven thick so they are very warm. more of a traditional wool, somewhat more itch. an interesting substitute for a mid-weight fleece.
more than you ever needed to know.