I like to use the three layer system.
Start with a good pair of long underwear and a long sleeve buttonless shirt. Tuck the first layer shirt into the long underwear. Add a pair of sweat pants or jeans on top of that and a hooded sweatshirt. Tuck the second layer top into the second layer pants. Make the third layer some type of windproof/waterproof material to seal in the heat. Toss on a stocking hat(I've got the ninja hood that covers your nose and lower face as well), some gloves rated for below zero temperatures and a scarf to seal the hole around your neck. It's a good idea if your bottom layer shirt has sleeves longer than your arms as well because then you can tuck them into your gloves to keep your wrists from getting cold. If it's really cold bust out some boot warmers and glove warmers to toss in your gloves and boots to keep your nubblins warm.
This system has been developed and tested working outdoors in Wyoming winters, so I know it works.