It will depend on the kind of wool used, and the method of felting and or boiling used on the wool to make the fabric. Ski parkas are built for active wear and can be warmer than wool jackets if they have special high tech fibers and construction.
Wool is generally warmer than cotton, due to the air spaces in wool.
Acrylic is generally warmer than wool because it is a synthetic material that traps heat more effectively.
A wool jacket has a higher insulating value and will keep you warmer on a windless day. A leather jacket has a low insulating value (lets the heat radiate out easier) but prevents the wind from cooling your body directly (wind chill effect)However some wool jackets are tightly woven and substantially reduce wind impact as they insulate and some leather jackets have a fabric interlayer to provide insulation. In short, it depends on the jacket.
Better is a judgement and you are the judge. Lambswool comes from fleece grown by lambs. Wool may come from any age animal.
Alpaca socks are generally warmer than wool socks because alpaca fibers are hollow, providing better insulation and trapping more heat.
Woolen
Unless it's left in the sun for a long time or if it's wet, wool is much better for maintaining an internal body heat. However, leather can get quite hot in warm weather and doesn't make you colder when it gets wet.
Jackets can be made of wool, yes.
Because wool clothes are heavier, thus making them warmer.
Silk is well known for being warmer than wool. Nylon and cotton are poorer insulators. (As well, there are other types of "wool" which are known for being much warmer than sheep's wool...)
Wool is thick and insulates the heat so it won't escape.
Neither generate heat. Neither is warmer