Sarah, Suz's summary of when and why winter underwear might be useful fits a lot of us who live in more northern climates. I actually only wear my silk long johns a dozen times or so during the winter, but, on those days, they are worth every penny. It's the difference between feeling cold and chilled waiting at a bus stop and being comfortable and able to enjoy being outside. My Icebreaker merino wool underwear would definitely also work outdoors in those conditions, but I'd be uncomfortably warm for the rest of the day in our overheated indoors. The merino stuff comes into play if I know I'll be spending several hours outdoors or if I'm in a damp, cold climate where central heating is unknown.
Our Canadian climates are pretty variable, and our winters vary from year to year. Some are cold and snowy, while others are quite mild. That's why we Canadians tend to have different types of outdoor wear to get us through everything from Arctic blizzards to mild, sunny days where some people get out their shorts and flipflops.