To make it clear, we have to talk about "why do people feel cold?" People come from warm-blooded animals, but we are in an environment full of flowing air. In winter, cold air will continuously exchange heat with the body surface until we are filled with cold air, and we will naturally feel cold.
Wearing clothes to keep warm is undoubtedly a good way to prevent cold air from taking away heat from the body surface. Wearing clothes to keep warm is divided into two directions: 1, thickness; 2. materials. Their principle of keeping warm is related to "still air".
An important indicator of clothing warmth is "still air volume", such as "polar bear fur" mentioned in Gao Zan's answer. Its fiber structure is hollow and contains a lot of still air, so it keeps warm.
Why can you keep warm when there is more still air? This requires a concept of "thermal conductivity": the lower the thermal conductivity, the less heat transfer and the better the thermal insulation performance. The thermal conductivity of still air is the second lowest material at present.
How can fabric contain a lot of still air?
First, you can thicken it. The thicker the clothes and the thicker the air layer, the warmer it will be.
Although the thickness of the material directly affects the warmth retention, the two are not directly proportional. After reaching a certain thickness, the warmth retention will not continue to increase, so it is better to keep the idea of "wearing more".
Secondly, you can choose materials, such as cotton, cashmere, down and so on.
Because eiderdown is a material that preserves more air at present, its natural fluffy structure can capture more air, and a large amount of air brings better warm-keeping effect, which lays the king position of down jacket in the field of warm-keeping.