ORIGINAL: Alsatian
(3) Choose wool or synthetic fleece for middle and outer layers. Wool and synthetic fleece retains much warmth when wet. Cotton and goose down, by contrast, retain very little insulation value when wet.
Can't add much more value, as the above responses have it generally covered (layers and synthetics)...just want to re-iterate the above point.
Don't wear denim. If it does rain/snow, etc and they get wet, you will be at minimum, cold and miserable, and possibly much worse. Do thousands of guys hunt the rockies with denim? Sure...but there are better performing options.
Not only does cotton not retain heat when wet, it will actually sap heat from your body faster. Plus, heavy denim takes longer than just about any other substance on earth to dry out, IME.