I stumbled on this info from a 1883 book on microscopy, called Evenings at the Microscope by Philip Henry Gosse. Gosse examines hairs from several animals under the microscope, and explains why different kinds of wool felt differently. Mammal hairs felt because they are covered with "sheathing scales" (shown in his sketch, below). These scales mean that, when subjected to heat, motion, pressure, and moisture, the hairs become interlaced and entangled. Gosse gives the example of "worsted stockings," which "everyone knows ... shrink in their dimensions, but become much thicker and firmer after they have been worn and washed a little."
After examining different types of wool under a microscope, Gosse concluded that Saxon wool was of the highest quality for felting, because it possessed the greatest number of "serratures/inch," or the highest number of imbrications or connections between the fibers. He gave the following counts:
Saxon wool - 2, 720 serratures/inch
Merino wool - 2, 400 serratures/inch
South-Down wool - 2, 080 serratures/inch
Leicester - 1,850 serratures/inch
To the right is a more recent microscopic image of sheep's wool, from Florida State University--if you look closely, you can see the scales Gosse was describing.