Lots of layers, and ditto on the 2 jackets idea.
For cold and dry I have an old Nike clima-fit softshell type; very similar to a windproof fleece.
For the rain and snow, I just ordered a 66 North Blafell shell off backcountry.com. It was $77 instead of like $280 or some ridiculous figure like that. It's made of eVent fabric which supposedly breathes better than Goretex. I don't really care, as long as its better than the crap EMS rain jacket I used last winter. Every time it rained, I ended up wetter inside the jacket than out, due to sweat.
On the bottoms, I wear my bike shorts with leg warmers. Add "loose tights" track pants over top when it gets colder, and on the colders days, add a middle layer of cheapo Champion long underwear from Target.