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A couple of years ago I got a few pairs of really nice merino socks from On-One, which have been my first choice ever since. Now they need replacing I can't find anything similar - even supposedly winter socks seem very thin in comparison. Is there anything out there a bit thicker than the coolmax jobbies but not as thick as walking socks?
Have you had a look into SealSkinz socks? A lot of mountain bikers in the Highlands use them all year round because they are waterproof too.
I've been loving [url= http://www.thebikechain.co.uk/De-Marchi-Contour-Plus-Sock-Black-M-20091125090003/ ]these[/url] all winter. Like you say, much thicker than normal bikey-type socks.
You can get some nice, lighter-weight walking socks from the likes of Bridgedale too.
Embers Merino do some lovely socks, particularly the quarter and shorty socks. Thick enough to cushion hard-soled SPD shoes, but not excessively big.
[url= http://www.embersmerino.com/Socks+Hats/Socks+Hats/quarter-sock_p161.htm ]Quarter[/url]
[url= http://www.embersmerino.com/Socks+Hats/Socks+Hats/shorty-sock_p160.htm ]Shorty[/url]