Wool socks in general.
You can get good wool socks from a military surplus store. If you want, you can use the polypro sock liners from there too. I'd recommend that if you find wool to be a bit too scratchy. This is what I personally use when it's cold.
There's also SmartWool socks available at Dick's (and elsewhere), that come in all sorts of colors and patterns. These are blended to be more comfortable and less scratchy. I've never used them though.