I've been very pleased with the Smartwool long underwear (top and bottom) I bought a couple of years ago for skiing. They are very warm, not itchy at all (some are all wool, some are a blend, but the way they weave it eliminates the itchiness of old, wool clothing), they are breathable like polypro and stay warm when wet like polypro. They have different weights you can choose from. I use the midweights which are fairly warm. I don't remember it as being a bargain price, but then good gear rarely is.
I also second the Patagonia stuff that Brian mentioned. I have some old, lighter-weight capilene long underwear from them that I wear on days that are cold, but not freezing, and they work fine. I've gotten years and years of use out of them and they are only just now starting to show it with the elastic losing some grip (or maybe that is due to my expanding waistline?)