This is a real horses-for-courses kind of discussion (and an informative one, at that)!
There are lots of options out there, so it really comes down to what you're up to and what sort of weather you expect to encounter. To wit: Will it be cold and wet or cold and dry, or a bit of each? Is durability and longevity a requirement? Is breathability important? Should the jacket be lightweight and/or packable? Is price an issue?
I worked in the ski industry in western Canada for over 20 years primarily as an avalanche technician. I worked in two distinctly different mountain climates; I spent a long time in the Purcells in southeastern BC (read: cold and mostly dry), and a couple years on the North Shore mountains right on the west coast of BC (mild and extremely wet). This gave me a real opportunity to learn what does and doesn't work. My 2¢...
For sheer warmth in cold and dry conditions, nothing beats down. It's light and very compressible which means you can squish it down to next to nothing in your pack. The down itself is durable, and will retain its loft for years if you take care of it. However, many lightweight down jackets aren't terribly tough, and it doesn't take much to tear their shells and set loose a flurry of feathers. The other big obvious downside - as everyone else pointed out - is that it is pretty much useless when wet. I haven't tried out the new water repellent down but it sounds awesome. Best use: Staying warm in cold, dry weather when you're sitting around or otherwise not too physically active.
For warmth in cold to cool conditions when it might be wet and/or you're active and sweaty, then a synthetic insulator like Primaloft is great. It's a little heavier and not as compressible as a similarly warm down garment, and apparently the Primaloft will break down over time, but it stays warmer when wet, dries quicker, and is usually cheaper than down. I have a much loved, much worn and in-need-of-replacement North Face Summit Series (the older version of the Redpoint Optimus) and it's probably the jacket I wear most. It's wears well on its own, fits over light layers, and under shells equally well. Google "belay jackets" and you'll find a whole heap of options from lightweight jackets to full-on parkas.
As for wool, I love all my merino base layers but I've never really used wool as a heavier insulating layer. My Mrs has an Icebreaker wool midlayer jacket and she loves it - it's replaced her Primaloft jacket.
Fleece and softshell - awesome stuff if you need breathability and wind protection along with some water resistance. One of my daily tasks as a patroller and avi tech on Grouse Mountain (on Vancouver's North Shore mountains) was patrolling about 4 miles of backcountry snowshoe trails with a total elevation gain/loss of around 1500 feet. The weather ranged from mild and misty, to cool and snowy, to mild and torrential rain, to occasional blazing sun - sometimes all in one day. I was really impressed at how functional and dry a good hard fleece/softshell jacket and pants can be even in wind driven rain when you're out there exerting yourself. I often found myself leaving the Gore-Tex shell in my pack, and the Gore-Tex pants back in my locker. Keeping the DWR treatment fresh helped a lot.
... Which segues nicely in to waterproof/breathable shells. They're a must-have for any outdoorsy pursuit, but they're not a magic bullet. Sure, they're waterproof, but if you're out for hours doing really active stuff in wind driven rain you'll start to get damp either because you're perspiring more than the jacket can vent, or water eventually finds its way in somewhere.
They work best if you keep them clean, maintain the DWR coating, and only put 'em on when the wether gets windy and/or wet. Also, use your pit zips accordingly (makes a big difference!). The nice part about a decent waterproof/breathable shell is it's pretty light, durable, and packs down nice and small.
Cliff's notes: If I were headed out on a several-month all-weather expedition and had limited space, I'd pack a waterproof/breathable shell and some sort of Primaloft jacket. And always with a hood!