Wool
Wool, is a popular winter material. Wool is very classic and appropriate for most evening needs. Some designers say that cashmere is probably the type of wool you want to almost completely avoid when in search of warmth and durability. Cashmere is by far one of the most expensive types of wool you can buy and is much less durable than its counterparts.
Leather
Leather is usually purchased for style and not usually bought for warmth. Leather can be a good winter choice if it is lined. Fashion experts will say that for the fashion conscious male, a leather jacket or coat is essential. Leather does require special care and storage.
Warmth
If you’re going for warmth, the best coats to look for should be made with down, fur or shearling.
Source; The Godiva Chronicles