Here is the best thing I have found to stop the wind from coming through.

Wear rain gear as your second to last layer, beneath a quiet outer shell. It stops the bite of the wind and helps you retain your heat.

I like this combination:

1) Under Armour long sleeve loose gear.
2) Some kind of long john top over that/fleece possibly
3) rain gear/waterproof layer
4) Your jacket

And do not wear any of them too tight.

Remember, space between materials help keep your warmth in, and things being too tight leave you exposed as the warm air is not allowed to stay inside your clothes.