Have you tried Under Armour? I have both the warm weather and the Cold Gear, and I find that it all makes me feel cold and uncomfortable, even indoors.
I know many people swear by it: hunters, campers, hikers, athletes, etc. I think the line was designed for pro football players. It has strong wicking properties. It fits tight and it's light. It's expensive stuff, but I just do not like it.
Since I own it, I guess I will stubbornly keep trying it, and will keep not liking it. Like anchovy pizza.