Dr spectrum is right, wool is pretty awesome. Wool socks + wool tights + wool sweater + whatever else wool you can get as a base layer.
Though it depends how long you ride. Cotton is fine, until it gets wet, and then it's like wearing ice. So eventually you'll sweat enough that the cotton will cool rather than insulate.
Also if you're going to be riding in rain/wet get a set of rain pants+rain jacket, they are super cheap. Get them a little big so they can fit over the rest of your clothes.
Last edited by bijan; 11-14-10 at 09:20 PM.