Thermal underwear likely reminds you of the pajama-like long-sleeve cotton shirts and bottoms you may have worn as a child. While the function of long underwear remains the same—keeping your body warm and insulated—thermal underwear has come a long way since then. Merino wool and fully synthetic long underwear options provide thin but effective layers of insulation. Synthetics also provide heat-trapping and moisture-wicking qualities. You can layer thermal underwear under your clothes, but you can also wear thermal leggings alone for a stylish, form-fitting look.