Wool does actually keep you warm when wet. Well, maybe more when moist then soaked. Wool will draw moist from your body and move it to the outside of the garment. Wool also has a natural antibacterial function which keeps it cleaner then syntethics. IMO, wool is superior in almost all aspects. As for warmth-per-weight-ratio, in my experience they're almost the same, with a slight advantage for wool. One big disadvantage for wool, is the cumbersome washing routines.
Wintertime I usually use wool underwear, and woolen knitted sweaters for reinforcement, and a woolen hat. Hard to beat. If it is really no wind I use a knitted sweater as a shell, and if I get really warm, the sweat freezes as crystal on the outside of the sweater, while I'm dry on the inside. My next project is to make a knitted sweater with a windproof shell on the inside. Just because of the looks
(With syntethics I don't consider fiber filled garments like sleeka jackets as they are substantially different, they will have to be compared to down or something.)