What's the secret to staying warm and comfortable in the outdoors? Clothes layering. Layers allow you to build a tiny microclimate that surrounds your body and can be adapted to moisture, wind, temperature, and exertion.
The inner-most layer is critical because it's in direct contact with your skin. Base layers (also known as underwear) should transport moisture away from the skin and disperse it to the air or outer layers where it can evaporate. Because water is a good heat conductor, damp garments draw precious heat away from your body. Even in conditions above freezing, this rapid heat loss can cause a dangerous drop in your body's core temperature.
The best base layer materials are synthetics (polypropylene and polyester). These are light and strong, absorb very little water, and are quick to dry. Silk is lovely and cool against the skin when it's hot, but is not an excellent choice for wintery conditions. Seamless or flat-seam garments lie flat and won't press into your skin under a harness or pack. Base layers should fit snugly without being constricting.
Base layers are available in light, medium, and heavy weights. Light layers suit aerobic activity where sweat dispersal is paramount. Midweight underwear provides moisture control and insulation for stop-and-go activities. Heavy layers are best in very cold conditions, or when you're relatively inactive.
The mid-layer provides insulation and continues the transportation of moisture from the inner layer. To slow heat loss, this layer must be capable of retaining the warmth generated by your body. Wool and synthetics are well suited to this because the structure of the fibres creates small air spaces that trap molecules of warm air.
Additional features, such as pit zippers and full-length front zippers, allow venting. As with the inner layer, this layer should be snug but not constricting.
The outer layer protects you from the elements and should allow air to circulate and excess moisture to escape. For dry conditions, a breathable (uncoated) wind shell or a smooth-surfaced soft shell may be all you need. If you expect conditions to be more severe, a waterproof (coated) rain jacket might be adequate. A shell made of a breathable and waterproof fabric, such as Gore-Tex, will protect you from wind and rain, and allow water vapour to escape.
Warmth for your tippy fingers: read Gloves and Mittens.