Manor have very reasonably priced thermal underwear. Jack Wolfskin does good underwear but is more pricey. Similarly most sports shops (Oeschner sport for example) do the Odlo brand for children .. again quite pricey.
I also really like the underwear (long sleeve t shirts and long under trousers) that they do in C&A. Much much more reasonable in price but probably not thermal.
When our little one was aged 1 to 2, we bought an all in one scandanavian brand thermal fleece thing (the brand name of which escapes me but we got it in Intersport in Sissach). It was cute, cuddly, warm as toast and very very practical as you could strip off all outdoor layers and let him toddle about indoors in this all in one, (in ski restaurants etc). Really warm. One of my favourite thermal undergarments and won all fronts (except price perhaps ..

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PS Sorry I answered this for children as you had originally posted on a playpen thread .. but I see your question doesn't directly relate to kids .. so apologies for extraneous kid info ... but Jack Wolfskin and any good sports shop for the Odlo brand hold good for adults too.