Nothing beats wool.
I can wear my merino thermals under pretty much anything. They're expensive, but an investment. (I have been using mine for 6y and they're still perfect.) Also do not need washing nearly as frequently as any other thermals, as wool is self-cleansing. One set of longjohns, long sleeve top and vest top is generally sufficient. Test them for itchiness against your neck and décolletage.
Merino tights are also extremely warm and hard-wearing (again, an expensive investment) but need more frequent washing than the long johns in order to maintain their shape and elegance. You'd need 2-3 pairs, but they could last you several winters.
Fleece-lined tights are amazing. Vastly cheaper than merino tights, but OTOH less hard-wearing. Thicker than merino tights, so you may feel less elegant in them. Still, a very good cost/quality compromise. I don't know which makes are good this year. Previous years I have sometimes had to try several different makes until I found one that fitted neatly. Then I'd buy several pairs.
Also highly recommend wool socks. Wool is very squashable, so even the bulkier-looking socks will generally fit into ordinary shoes perfectly well. I don't mean heavy-duty walking socks, just almost any woollen socks. You want at least 70% wool and the rest nylon or a mixture of nylon and other synthetics for the best balance of warmth/hard-wearing/machine-washability. Don't get cashmere: looks lovely, feels lovely, totally not tough enough for socks.
A cashmere cardigan OTOH...the softest, warmest, cosiest thing ever.