Avoid cotton ones as they will just get wet as they trap the moisture, apart from that you can get wool (merino is excellent if you can afford it) or silk ones. Polypropylene ones aren't as warm. Thermals should be snug fitting (not loose like a T-shirt) and hug the body without being too tight. They will absorb the moisture and take it away from your skin keeping you warmer and dryer.
Thermals should not be mistaken for skins which have no thermal properties.