Layering is obviously the key. I believe there are three specific layers needed to effectively protect you from the elements and yet still allow you to remain relatively comfortable in terms of sweating, moving around, etc...

An underlayer of good thermal undies. My personal favorite are either polypropylene or fleece. They both serve to trap some heat and yet are very effective and breathing and releasing moisture. A middle layer of insulated material such as a wool sweater, polyester/fleece sweatshirt, etc... An outer layer that both insulates and also is waterproof and breathable. I have a variety of outfits that fit that requirement but my personal favorite is Cabelas Revolution Fleece.

Hope this helps.