speaking from my gut feel on material resistivity (i.e., insulative ability independant of thickness), synthetic material like thinsulate wins.
I have 2 pairs of gloves with thin linings, one has cashmere lining and one is thinsulate. Both are thin for maximum dexterity, but thinsulate feels the warmest to me. That said, I prefer cashmere lining because it feels nicer on my hands.
This is pretty much my gut instinct too. For dressy gloves, cashmere-lining for the balance between feel, warmth and looks. If you really need the warmth, a synthetic will probably work better.