Sports Medicine Guide, Elizabeth Quinn suggests in her article, Dressing for Winter Exercise that you focus on three layers - the base layer with thin fabrics like silk or wool, a mid layer like fleece to keep you insulated and an outer layer like a wind jacket to protect you from the elements.
Layering works well with cold temps because it helps you stay warm and provides an easy way to regulate your temperature - if you get too hot, just unzip or remove a layer. And don't forget the hat and gloves!
For some great choices, check out my Top Picks for Winter Exercise Clothes.
