1. UA Cold Gear 4.0 Underware (tops, and bottoms)
2. UA Cold Gear Capture
3. UA Cold Gear Hoody

I'm sold on the UA stuff, I've yet to find something better. I'm a huge freeze baby.

The base is most important. Cover your ears/head, and keep your feet warm also.

I'm also a fan of a Muff with a few hand warmers, as I don't like wearing gloves (unless very thin)