Im with you. There is NO one type of clothing that does everything, wool is great, but it needs a wind/waterproof shell to be effective. Down is great, but again you need some type of wind/waterproofing. Now wool would be fine for winters in the southern states where lots of people post from here. But in Northern climates, and especially in Newfoundlands super damp cold climate theres no way in hell im going outside in winter with just wool on. Windchill will kick your *** in seconds. Plus the damp will finish you off as well. I have a Canada goose jacket, its probably the best jacket for warm, dry and comfort in the cold, but it's huge. So for doing my daily runs I have a Columbia down parka with Omni Heat, It is probably 80 percent as warm as my Canada goose, waterproof, and lightweight. For pants I have a pair of Columbia Omni tech, Omni heat pants that I wear a lot, dry, warm and very comfortable stretch materials.I work as a journalist and cover rallies in Canada. the season opener is north of Ottawa, and often is -30c in the daytime, plus windchill.
I wear a wicking baselayer (Merino), a sweater (Merino), a down sweater (thinner, meant for layering 500 fill down), goretex shell. I stay dry, warm, comfortable, even at night, when it gets colder. I don't know that there's a right single later for when it's really cold. There's too big a risk of moisture not to layer.
Jeans are the worst pick for winter cold weather. Go with even a waterproof shell with a warm base layer.