Common misconception: wool is not inheritely scratchy. Hand-spun wool yarn can in fact be extremely soft, similar to other "luxury" fibers like mohair or silk. Garments made from hand-spun wool are, likewise, quite comfortable.
Where you get the modern-day scratchiness from is the fact that wool is no longer hand-spun on a commercial level. Instead, the wool is chopped up into short segments, and then vigorously twisted by a machine. The scratchiness is from all the cut ends of the fiber sticking out of the twisted bundle. When hand-spinning, the ends of the fiber are inside the yarn, since the fiber is drawn through the orifice and onto the bobbin by the fiber that preceeded it.
Essentially, hand-spinning makes a continous yarn because the fiber is pulling itself out of a handful of loose stuff, while machine spinning chops it all up short and feeds it mechanically, which creates stiff, irritating hair ends.
Add to this the fact that modern-day wool is washed with some very nasty chemicals to clean it (removing the beneficial oil lanolin, incidentally), which often irritates people's skin.
Other useful information regarding wool: when wool gets wet, is in fact WARMER than when it is dry. Woolen fibers are actually hollow; when they get wet, the water seals up all the pores, forming air-tight cells. Which are tremendously good at insulating.
There are many times when I've worked outdoors in the rain, even when it's bitterly cold, wearing a canvas coat to keep the dirt off and a woolen sweater underneath for warmth. Even when I get soaked through, I stay toasty warm.
Now, pop quiz: True or false: Momaw knows somebody who hand-spins and/or knits...