Interesting fact here on Slate:
Because it’s practically freezing down there. The water temperature at the bottom of the ocean usually hovers around 37 degrees Fahrenheit, and most deep-sea exploration vehicles don’t have climate control. Explorers tend to bring hats, gloves, long johns, and other warm layers, which they pull on as they descend and the temperature drops. Socks and caps are particularly important, as it’s coldest on the floor and ceiling of the submersible. Because of concerns over electrical fires, deep-sea explorers wear natural fibers like cotton and especially wool, which is fire retardant, instead of synthetic fabrics.