You can stay comfortable exercising in cold weather by dressing in layers to help regulate your temperature and keep you warm and dry. Most cold weather activities require a base, mid, and outer layer, and each of these has a specific function. The mid layer is for insulation and keeping you warm, while the outer layer allows moisture to escape while blocking wind and repelling water.
The base layer wicks moisture and perspiration away from your skin to keep you warm. This underwear layer is in contact with your skin, so a close fitting and wicking material is best to keep you warm and dry. Polypropylene, silk, polyester, Thermax, Thinsulate, and wool are all good choices. Base layers come in various weights (lightweight, midweight and heavyweight). Select a weight based upon the outside temperature and your activity level. The lighter weight is better at wicking, while the heavyweight has more insulation.
The mid (middle) layer provides insulation. It should maintain contact with the base layer to help carry moisture from the base layer to the outer layer, but most people like a looser-fitting mid layer. The most widely used material for mid layers are down, polyester, fleece, wool and some new synthetic / natural blends.
Although generally not as warm, a fleece mid layer has a few advantages over down. Fleece breathes and handles the perspiration from exercise better, and comes in a variety of weights and styles. It is lightweight and works in almost every weather condition.
Icebreaker, from New Zealand, makes popular activewear made from soft merino wool so it insulates, wicks moisture, and stays extremely warm.
The outer layer is critical for blocking wind while allowing moisture and perspiration to escape. Choose a shell layer that is waterproof, windproof, and highly breathable, such as Gore-Tex. Choose the thickness for the conditions you'll be exercising in most often and look for extras such as pit zips, pockets, hoods, and appropriate ventilation.
It goes without saying that if you are exercising in the cold, you'll need something covering your head -- at least at the start of your workout. The types and styles of hat are endless, but choose the fabric and thickness appropriate for your weather conditions and activity level.