At night, men wore their union suits, and long nightshirts over them in the winter. Women did the same thing. They did have a practical use in the days before central heating.
I've worn two-piece long underwear, but never a union suit. I don't know that I would, but my area doesn't have really, really cold winters, either. I don't know how anyone wore them in wool, though, or wore them throughout the winter without washing them. The smell must have been rank. There's something to be said for living in the 21st century, where most people change their underwear every day.