Granted, wilderness backpacking has completely different standards for smells and grossness, but the comparison carries over to the higher standards of the "front country." In hot, sweaty weather, synthetic underwear gets noticeably grosser and smellier than wool over the course of a day.
I have an older pair that is 100% wool (I don't recall the brand; they might be a very very old SmartWool product) but the lack of stretch makes them less comfortable.
Editing here since my original comment is too old: in a pinch, I've also had much better results washing wool underwear in a hotel bathroom than synthetic underwear. Contrary to their reputation, neither wool nor synthetic underwear dry quickly, even with a hair dryer, but wool dries faster, feels cleaner after washing, and in the worst case scenario is much more comfortable wet than synthetic underwear.
I should try the smartwool underwear because there stuff is better than the competition, especially the small players.
A layered clothing approach helps a lot. I wear an undershirt (Icebreaker Merino T) every single day, which helps me to regulate my body temperature between hot and cold climates, without requiring a major increase in the amount of clothing I have to bring. The only outerwear I had to bring on my trips was a single wool peacoat and a packable windbreaker/rainjacket. By using layers, I was able to use the same set of clothing between 45C and -25C, across 4 continents with no real trouble.