There are several kinds of wool which are comfortable, the warmest being angora. You need to figure out how warm you need this first layer to be. The middle layers are just successive layers of wool. The outer layer needs to be windproof. This is where cotton comes in.
Egyptian cotton is woven very fine and is windproof.
Cotton canvas is also very good. The important part of the outer layer is the construction. It needs to be loose enough to create an insulating air bubble, have the ability to seal at the wrists and waist to keep the warm air in and cold air out, and it must allow loosening for venting purposes. For the ultimate in insulation and windproofness, garments without zippers are best. Depending on the length of the parka, or anorak, you might well want a pair of windpants, also.