Cotton clothes and socks are the absolute worst things you can wear during the winter, because cotton holds moisture and loses its insulating properties. If you sweat under your jacket, get wet from the snow, or if there’s any moisture in the air, the cotton will quickly absorb it and keep it close to your skin, making you feel even colder.
Merino wool or polypropylene socks are a much better way to go since these fabrics wick moisture away from skin. Wool in particular is great because it suspends the moisture in the weave, and can absorb almost 1/3 of its own weight before making you feel cold or wet.
And for those who don’t have wool socks (or don’t want to go out in the cold to buy them), an easy hack is to put your socks on and then slip your feet into plastic bags. It looks weird, but it will keep your feet really dry and warm.