I like to wear merino wool top and bottom base layers. I get most of them from minus33.com. They have light, medium, and expedition levels of thickness. The expedition layer is great for really, really cold days.

I usually wear my predator camo OPT pants and jacket or sitka 90% pants and jacket. As someone mentioned earlier, a windstopper jacket is key. The wind is what pulls heat off your body. If it's really cold, I'll add a vest underneath the jacket (North Face & Sitka make good vests). If it warms up, it's easy to pack the vest and it's small.

In my opinion, good quality wool base layers and windstopper outer layer are the best investment. They can keep you warm without overdoing it.