What i think of as woolen "sokker" are usually thin, as opposed to to the thick, hand-knitted "tjukkelabber". The sokker is used interchangably with cotton socks of the same type (but much more comfortable, imo). I think most of my friends use wool socks in winter actually. At least they keep asking for them for Christmas.

There is a slightly thicker type which is made from - I'm not quite sure what to call it - terry cloth? Like these. These are not very much wool in, but I have some pairs that hare more wool, and less plastic.

And probably more. I can have a look around a sock shop for you, and take some pictures if you want?