4:22 p.m. on December 28, 2009 (EST)
C4B7 - As Bill and others have said, what you wear really depends on the conditions. There is a bewildering array of types of jackets and various layers made out of all kinds of proprietary fabrics, none of which I know anything about except what I own.
Once it starts to gets cold, my very basic system is this-
briefs-Jockey synthetic (not cotton because it gets too clammy if you sweat at all);
base layer - old midweight Capilene turtle neck long sleeve top and midweight bottom (Patagonia now makes 4 different weights, so not sure what the new equivalent is-probably 2nd lightest). I wear these when skiing or winter camping. I am wearing them in my picture. You can see the top under my fleece jacket.
outer layer-I have Marmot Precip pants (in picture) and an REI rainjacket which are fine for aerobic activity in cold weather and rain.
Insulated layer- TNF Baltoro big Goretex down parka and Go-Lite synthetic insulated pants. I also have a pair of fleece pants, but usually don't take them. I also have a midweight fleece jacket (in picture). I wear this jacket all the time. I live in LA and probably wear it 200 days a year as my everyday jacket. It is a cheap Columbia jacket and I've owned it for years. Probably the best value in a piece of clothing I ever bought.
This works for me in weather down to about +15F. It should work in even colder weather since the TNF should be good to around -20F or so. I've only worn these combos in moderate cold weather, not heavy storms, so don't know how it would hold up under those conditions.
I have hiked in mildly cold and misting weather (maybe around +45F) in just my Capilene with a pair of nylon shorts over the bottoms and a light jacket.
The Marmot pants have full zips which I open if I start to get hot while skiing.
Snowshoeing and skiing will generate a lot of heat, at least that is my experience. I would advise carrying liner gloves of some sort, heavier gloves or mitts, and a balaclava or neck gaiter and fleece or wool beanie. Those are put on while stopped if it's cold.
Once you stop, you will want to layer up, but try to avoid sweating while moving. You'd be surprised how little you need to be wearing while moving in cold weather, as long as you are wind-proofed to some extent.
For a more traditional system, read Tom Mangan's article on Kevin Kinney and Empire Canvas Works.
In extreme cold weather (-30C), some campers will wear wool tops and bottoms in place of down or synthetic jackets and a cotton/canvas outer anorak or jacket that is good for below freezing. Cotton will breathe just as well, if not better than modern fabrics in very cold weather and is resistant to sparks from camp fires, unlike nylon. The old saying "cotton kills" remains true, since it is a poor insulator and stays wet, once it gets wet, but it works as an outer layer in sub-freezing temps.