If you're not going to break out into a sweat or have close access to a warm place, you can cheap out and buy cotton.
If you're going to be sweating away in the middle of nowhere with no access to a warm place, you need to buy synthetic or wool.
If catching on fire is an issue, use cotton or wool. Synthetics will stick to your skin unless you are buying some expensive fire retardant mix.
Cotton is a killer in cold temperatures if it gets wet. Wool is the best material, but is not as durable as synthetic and is usually more expensive.