I've heard Sea Otter fur has the most hairs per square inch. We see them a lot up here and it certainly works for them in 30F to 40F degree sea water. But I don't believe there's a legal harvest of most fur-bearing sea mammals in the USA except for some Natives harvesting seals on ?Saint Lawrence Island? maybe or more likely on one of the Pribilof's.
What I see dog mushers use is beaver fur for mitts and hats. I've got some sheared beaver if you want a sample. Sheared so it's still soft and dense but not nearly as long as unsheared. PM me and I'll send you a swatch of it in a envelope. My first name's inital my last name, the at sign, my state, a period, net
And of course fox, wolf or coyote for parka ruffs because your breath doesn't freeze onto it. Tunnel hoods are GREAT in wicked cold. I didn't know about that until I moved to Alaska. It cuts the wind past your face quite well. Neoprene facemasks are more versatile for most people, but they redirect my breath and my glasses fog up. Tunnel hoods don't do that and canine fur on the ruff would be ideal, although mine do okay with synthetic. The ruff is functional - it cuts the wind inside the tunnel hood by dampening its energy. Otherwise, you get eddies of wind swirling around inside.
Muskox is fine and soft but SO expensive and I don't see any performance advantage over, heck, acrylic.
Amundsen felt that one of the reasons he succeeded while Scott died in Antarcticia what that he used fur, Scott didn't. (Also, Amundsen's dogs could eat dog meat and did. Scott's ponies needed feed.)
We don't get a lot of possums up here (i.e. none) so I can't help on that one.
For weight and performance, synthetics have fur beat nowadays, IMO, except maybe for canine fur on a ruff - it still outperforms synthetics. Not sure if you can still get dog fur from China - there was legislation proposed about that, but that would be the cheapest option.