I've tried many several different types of baselayers, from various manufacturers, and have a few comments (based on my experience, YMMV):
-I used UA compression baselayers for hockey. They work great....as compression and wicking material. NOT for insulation. Don't need insulation for hockey, you need to get the sweat out and an arena isn't the same "cold" as outdoors. I tried UA compression for for skiing, hated it in the cold weather, it's ok in milder weather. Reason is that it doesn't insulate, and while it does wick sweat away, there isn't much point to it in the cold outdoors setup. Again, in mild temperature skiing then possibly, but not in cold weather, it's really pointless in terms of layering for warmth. If compression is that THAT important, then you'll end up with compression, base, insulation, shell. And that defeats the whole point of a thin, lightweight setup. Not recommended for downhill skiing (in my opinion). Recommend for cross country skiing, skating, hockey.
-I've used UA non-compression baselayers (ie-ColdGear). They are quite warm, and depending on the fit, can be fairly "snug" but not compression. They're far warmer than compression. So I'd never use them for skating or hockey, but definitely for skiing. Good all around product, you do pay extra for the name, but whether that's important or not is up to your wallet. Downside is they will stink quickly, so you have to wash them VERY regularly or you'll end up scaring all your buddies away. Recommend, with restrictions.
-Used Capilene mid-weight. It was ok. Insulating, but it didn't feel very....."techy" or comparable to sweat wicking material (I tend to run hot in my torso, cold in my extremities). Not great, but not bad. Wasn't terribly impressed, thought it was pricey for what you get. Not recommended.
-Powerstretch is nice stuff. Good fit, wicks sweat away, fairly warm. Good all-rounder. Depending on the fit and where you buy, you might score really good with it, or you might get something just "decent". Best to go with reputable name/store and hope you get a good fit. Like the UA ColdGear, you need to keep this stuff washed very regularly or you'll clear a room when you walk in. Recommend with restrictions.
-Merino wool. I've tried Icebreaker and Smartwool. Both are expensive but I'd give the nod to Smartwool; better design details (particularly in cuff areas at hands, neck, and crotch), generally better attention to sizing, slightly more affordable because they tend to go on sale a bit more than Icebreaker. Come in various weights, I prefer the lightweight stuff. Not compression but can be "snug" if you find the right style. Wicks sweat, reasonably insulating for lightweight, well insulating for mid/heavyweight. Soft to the skin (not like traditional wool) and can be used to regulate body temperature in cold or mild weather. Highly resistant to odor, does not smell at all if you're out in the backcountry for a few days without a shower. Highly recommend.
I only keep the UA ColdGear and Smartwool stuff these days. UA for really cold days where I'm not terribly active (standing around outside with kids, walking around on cold days, or snow tubing), and merino wool for everything else (pretty much 95% of my total time skiing). I am not a fan of compression at all for skiing due to its seemingly pointless use in a layering system when trying to insulate in cold weather, but I swear by merino wool. It can be expensive, but look for closeout/end of season/last season model sales and you can get them for 50% if you get a bit lucky.
Hope that helps.