Personally I don't like fleece. It is warm, certainly, but it is not very good for temperature regulation. If your child happens to get a little hot during the night, she'll sweat, and then if she cools off again she'll be damp and can get chilled. I avoid fleece and other polyester fabrics in general, though, because they're made from petroleum.
Wool, on the other hand, is an amazing temperature regulator. Very warm and insulating when it's cold, but takes a lot more heat before you get overheated. And, if you do get overheated and sweat, the damp doesn't cause a chill if you cool off again. Wool can absorb up to 30% of its weight in liquid before feeling wet.
Wool is fabulous for under and outer layers for going out in the cold, and for sleepwear. It is also naturally fire retardant so doesn't need to be chemically treated as such, unlike many other infants' and children's garments. We
wool in our house. It is more expensive, but because it doesn't need to be washed often you don't need nearly as much of it. You need to get virgin, untreated wool to make sure you avoid the scratchy kind, though. Our wool is super soft and scrumptious.
At night we use cotton or wool pj's under this
wool sleep sack. We have this
toque and these
mittens that we love. This is the
shirt and these are the
pants we use for day play-wear and night pjs. These are especially great to use as "
long johns," with built in feet so there is no gaping between socks and pants. We have
this snowsuit for DD and I would love to buy
this coat for DS. And this is our bulletproof nighttime cloth
diaper cover.