Wool socks: most of them made and lambswool, and are the best option for cold weather. 

Often they are blended with small amounts of synthetic fibres to enhance their durability, like these Pantherella dress socks.

This wool is obtained from Cashmere goats.  Often admixed with synthetic fibres, it is very warm and in this mix quite durable.  100% cashmere socks would wear out fast.