Actually some do. Polypropylene is one that comes to mind.
you either wear nylon fishnet underwear or cotton underwear to stay dry and comfortable
Well...which is it? Nylon is a synthetic after all. And be advised cotton is a terrible insulator when wet and doesn't wick at all.
It's fine till it's damp, then it actually pulls heat right straight out of your body.
By far the very best 'next to the skin' stuff is silk longjohns. Absolutely nothing beats it.
Then you can layer polypro or another advanced synthetic on top of that. Over that I usually put on a layer of good old fashioned wool or just go straight to something that breaks the wind.
Of course these days I mostly try to stay inside next to the fireplace...
L