First off, it's my understanding that a fleece can be made of wool, cotton, nylon, etc. I believe "fleece" (when it comes to jackets and sweaters) means clothing "a soft bulky deep-piled knitted or woven fabric used chiefly for clothing" (Websters).
So, you can have a wool fleece, cotton fleece, polyester fleece, etc. As much as I love wool, it's expensive and you can't toss it in the washer/dryer (although you can on some Smartwool clothes). I hate my cotton fleece sweaters (they were gifts). They are way to hot in the winter and don't breathe well. I started wearing a North Face fleece back in the 90's bought on clearance for a canoe trip through the Boundary Waters. It is polyester, breathes really well, and has stood up to 25 years of abuse. I also wear the same North Face Denali fleece jacket almost exclusively in the winter under my Parka for the last 15 years... I would have stuck with only the older one except the pattern on the fleece went out with 80's style... and I LOVE the arm vents on the Denali for adjusting for different temps or activities.
However, my particular fleeces don't stop the wind, and give you almost no protection in the rain. Many fleeces today offer material in between the fleece knit which stop both. The downside being that they don't breathe as well. I go for layers, so I like the extra breath-ability. Wool usually breathes well too but similarly, without layers in between stopping the wind it can get a little cold (and I wouldn't wear it in a down pour either). I LOVE my Kuhl wool fleece sweaters.
There are different types of wool too. You might want to do some research into that if you are going to be wearing it all the time.
So, it really depends on what you expect from the jacket, how you are going to use it, how you are going to clean it, what other materials are being used e.g. Gortex in between the layers to keep the wind and rain out, how much you want to spend, etc. In the end, 90% of my wool clothes and jackets are used for when I don't plan on getting dirty or wet... basically because I probably couldn't afford to replace them. I should probably mention that non-wool fleeces tries to be like wool, while wool... is wool. If I could afford it (maybe if I lived in New Zealand wear wool is cheap) I'd use it more often.