One factor that can play a big role in how comfortable a fabric is for wearing is absorbency. Wool is the most absorbent fiber out there, capable of holding 30% of its weight in moisture.
You can stay dryer and more comfortable when wearing wool -- a piece of wool will still feel dry to the touch after it has absorbed 30% of its weight in moisture. Compare that to cotton, a fabric that starts to feel wet to the touch after absorbing 15% of its weight in moisture.
Humidity... perspiration... they don't stand a chance against wool's powers of absorbency!