REI carries some SmartWool long johns made out of Merino Wool that I've been wearing for about 4 years. They wear extremely well, breathe well and are very warm. I wear them on and off the bike and under clothing as well as by themselves. Absolutely perfect and so very soft! They haven't even stretched out over time like I thought they would.
Prices are cheaper than the Icebreaker stuff but only by a little. The nice thing about REI is that you can return them after wearing should you find they are not what you wanted - even if it's a year later.