Helly Hansen base layers made of merino wool completely blow anything UA makes out of the water. There is absolutely no question merino wool keeps you warmer than shitty, petroleum based UA cold gear. The merino wool fiber warms with your body and retains heat. The UA cold gear just suppresses the heat against your skin. Make you warm up slower, holds sweat to your body (makes you colder) and you smell like a fucken douche bag...literally.
Please do not buy UA over HH.
What kind of Under Armour are you wearing? I've worn Under Armour for as long as 12 hours (7 of those hours snowboarding) and never once did it smell. There's this technology in these Merino Wools and Under Armours called Anti-Microbial. It neutralizes microbial odors. Actually, for Merino Wool it comes natural.
The real difference between Merino Wool and Synthetics is that the Wool will keep you warm even if it gets damp (from sweat or snow). Under Armour however, doesn't get wet. I have never once had a problem with Under Armour getting wet. If your Under Armour is getting wet, then you are not layering correctly. Like wearing Cotton underneath or over it. Or you might also be using a jacket with poor breathability. Under Armour is practically dry straight out of the washer. I have never had to put my Under Armour in a drier. I just take it out and let it hang and it is ready to wear within an hour or less.
I also like UA for it's compression fits. I didn't like the compression fit the first time I tried it, but now I love it. I understand why they make that fit. You forget that you have it on and it really, really wicks the sweat away. However, the base 3.0 is not compression fit. It is fitted which means it is slightly looser than compression so it will not have the moisture wicking performance to the level of a compression fit. The base 3.0 is also different material. There is no nylon in the base 3.0 and is softer than the regular coldgears. It is super warm. So warm that it is comparable to the Merino Wool product.
So here is the bottom line...
Merino Wool is the best fabric for winter sports to keep you warm. Hell, it is the best fabric for anything involved with winter in that respect. The material is just plain soft. So why am I defending Under Armour? Under Armour is already expensive. Merino Wool is even more expensive. Well, at least the properly constructed Merino Wool products are. Helly Hansen is a great brand, but they don't use 100% Merino Wool. They use around 50% for their warm baselayers. If you want a good Merino Wool product and price is not an issue, consider SmartWool. They make 100% Merino wool baselayers. The last factor that makes me recommend UA over Merino is the weight. Merino is not heavy by any means, it is actually very light. Compared to UA though, it is a noticeable difference. Since you are snowboarding, I don't recommend getting the wool or base 3.0. You should get a compression fit UA, and layer over it. Again, if price is not an issue, the absolute best combination would be to get a UA compression fit 1st baselayer, and a loose fitting merino wool 2nd layer. Now that will keep you super warm and dry.
Get the UA if you want to save a few $$. Get the Merino if you have $$ growing on trees in your back yard.
Edit: I forgot to add that Merino Wool just won't have UA compression fit's level of moisture wicking performance. Plain and simple.