I have very sensitive skin and find even Merino can get a bit too itchy for me if it's worn under a lot of other layers so I tend to avoid it for winter thermals. However, a fair few years back I gave Merino Wool t-shirts a try and they were a revelation. I don't generally wear anything else in the summer when cycling now, even when the temperatures are in the thirties I find them really comfy and keep me much cooler than any other base layer I've tried. In the last few years I've also ditched padded short liners and now just wear Merino Wool boxer shorts under my outer shorts and again couldn't be comfier, so yes I love Merino despite the high cost.
I've also been more aware in recent years of the ethical impact of Merino and try to make sure I spend a little more on wool thats certified to come from non-mulesed sources as well. I've not tried any other natural materials, but for me, Merino works just fine.