I just wear a pair of medium or maybe heavy merino wool socks from EMS. But then again I have really hot feet to start with so my opinion is a little slanted.
EMS has a line of "Tech Wick", I believe they make socks out of the stuff too. I wear "T3" "Tech Wick" under my main undergarments. My wife wears 2 layers of T3 and a layer of T1 under her undergarments. I wear the tech wick glove liners then a pair of smart wool gloves under my dry gloves. I wear a tech wick beany under my helmet when I snowboard, can you tell I really like the stuff.
Anyway, back to the feet, any material that wicks moisture is a good first layer. Second that with any material that stays warm when its wet (wool) is good to. But cotton and some other materials just hold moisture where it is, and does little for insulation when its wet.