It's not 'thermal' but I prefer base layers. They're not as bulky and you can get them in different strengths. I just got some at the Under Armor outlet and I've seen a decent selection at Dick's Sporting Goods before.
Smartwool rocks and is worth every penny. Another fave in our house is Eddie Bauers First Ascent line, which is more MM because Eddie has silly holiday sales (30% off or more is common.)