Fleece is definitely a good option from thrift stores. It is all polyester and you can often find it for a couple of bucks.

Nylon is also good, especially for outerwear. Polyester is better than nylon for shirts, in my opinion, while nylon works better for pants.

Wool is ok. It can be a bit heavy for the warmth you get, but it's durable and reliable. For non-scratchy wool, look for 100% merino. You might find some or you might not, but if you do find it, it is usually a high-quality item.

Silk can be very lightweight and some people prefer it to polyester that has been woven to have a silky texture and weight. Silk takes longer to dry compared to polyester, but is quicker than cotton. Silk is not particularly warm for the weight. It is usually worn as a very thin base layer that feels good next to your skin. Not very common to find it in thrift stores.