I've been wearing wool forever and love it. I've worn two different coats at three airlines. Of course all this is very subjective and also dependent upon your airlines rules along with how badly you'd like to disregard them.

I do not wear the suit jacket when I wear the coat. What's the point? Plus, that's generally too much crap to store in the cockpit. I do not wear the hat when I wear the coat.

Try online retailers and outfits like Burlington or Mens Wearhouse. My last coat is my favorite. It's a Merino Wool / Cashmere Blend and about the only thing that I like about winter. Soft as butter and wrinkle resistant. On sale, it was about 125 bucks. A steal when you look at guys dropping 400 on leather.

When wandering on an overnight and its really cold, I simply put on a fleece vest first, then the coat. With some gloves you're good to go in almost any winter weather in the conus.

My opinion is just that. I think airline pilots ought to wear hi quality dress clothes. Not dickies, black reeboks and bus driver jackets. But, then again, I'm a malcontent and outlier. If you switch to wool, buy an adhesive dog-hair / lint roller.