I like wool personally, but I do have a couple of fleece ones. The fleece tend to shock the horse when you are putting it on and takin git off. You can spray some static guard on it and wipe it and horse down with dryer sheets before to stop it. Its all personal preference after that.
And I find that the cut-out kind tend to slip back, so I only use them for warm ups and cool downs since they are so easy to take off. If I'm going out on the trail, or know my horse can have the sheet on the whole ride I'll go with the blanket type that goes under the saddle.