I LOVE Surplus store stuff. I found a great balaclava there, and then wool BDUs. They're not the most streamlined, but I can wear them and nothing underneath except my chamois and be warm, even in da UP!
If you go to Costco check out their winter gear. I found a pair of soft-shell pants by Black Diamond of VT for under $30. Right now I ride with those pants, with long johns underneat if really cold, and a fleece jacket or wool sweater up top. I have some fleece liner gloves that were cheap and I wear wool mittens over them if REALLY cold. If the balaclave is too much I'll wear a windstopper hat or even just a skullcap I have from kayaking.
I do have a gore-tex jacket that I'll wear if it's raining or snowing wet snow. I do clipless with neoprene bootie covers for all but the coldest days when I'll slap on my platforms and wear my Keen hikers with wool socks.
Pretty much what everyone else said...use your regular winter gear. If you live in Madison you no doubt have that stuff.
Know what else is good? Wool or fleece lined work pants. Can be found at Menards, Wal-Mart, etc...
Just remember to use an ankle band to contain the pant leg!