I have been looking for a wool based running short for a while and have finally found one from Icebreaker. The GT Distance short, part of their GT Run line, is almost all wool with a bit of stretch. It is highly breathable, looks good, is moisture wicking, and best of all because it is wool-no stink! A drawback, only one small inside pocket. In my view deep, close able pockets are essential on any running short.
From what I understand the Distance Short will be out in the US this spring but it is now available in men's and women's models from Nature Shop of New Zealand. I got mine in 4 days, free shipping all the way from the Kiwis. Increasingly I am seeing free shipping to the US, even from overseas stores.