Very good, not very scientific but very good.
Oh! You mean you wanted a serious answer?
Both wool and fleece can be very breathable (open weave, etc) or wind blocking (tight weave, felted, wind blocking backing, etc).
Better about fleece (polyester)
* Lighter
* Doesn't absorb moisture into the fiber
* Fabric absorbs water like a sponge
* Dries faster
* Wears better
* Non-scratchy
* Stinks (good if you want solitude)
* Easier to clean
* Artificial fiber
* New! Improved! (in the 1970s and 1980s)
Better about wool
* Better insulation when damp
* Retains cushioning when damp
* Water resistant--wets slowly (the original soft shell)
* Merino Wool is non-scratchy (other kinds can be scratchy)
* Non-stinky
* Natural fiber
* Slow but effective wicker
* Doesn't melt (cooking, fire sparks, etc)
* Fire resistant
* New! Improved! (in the 2000s)
Wool's superior performance when damp is why it has never been displaced as the fabric of choice for socks.
Wool was the standard for winter hiking insulation (hats, shirts, sweaters, jackets, mittens, socks) up to the 1970s when pile came on the market. (I still have my Scottish pile jacket. It didn't pill like that Patagucci and Chuck Roast stuff...) More recently, Merino wool and new manufacturing treatments have brought wool back. (Outdoor clothing and gear is just another fashion industry--they have to change things to keep the sales up even if they have to return to an older material/technology.)
FWIW, I have wool long underwear (Stil-Longs) from the 1970s. It is nice and comfortable Merino wool--just like the newer (New! Improved!) stuff.
Doug