Wool sounds good to me. I am always cold and that came to my mind also. Maybe you could make one of those quilts with a pocket sewn on that the quilt can be folded into and when the quilt is used the person can put their feet into it. I know when I am cold my feet seem to be the worst.
Here is a pattern I found. It even has handles.
http://acuppaandacatchup.com/2011/05/quillow-tutorial/
Another thought would be to use fleece for the backing. It would function as batting at the same time.