Staying dry is the first principle of staying warm. One important step in keeping dry is to choose the right clothing, namely clothing made of fabric that does not hold moisture. Although fine for summer wear and indoor activities, cotton is not a winter fabric. Cotton is extremely absorbent and does not dry fast (just look at how long it takes your cotton bath towels to dry). Cotton is not to be worn outside in the winter. It is especially critical that socks and long underwear do not contain any cotton fibers.
Ideal winter clothing is made from synthetic fibers, wool or silk. Choosing synthetics is most important when selecting long underwear. Capilene, Thermax, Thermastat, Teckwick, or any name brand synthetic, will not hold water, and will in fact wick water away from you and still insulate when wet, even at subzero temperatures. Another option is wool, which also insulates even when wet, but does not dry as quickly as synthetics. One benefit of wool is that it does not melt from sparks around a toasty campfire.