Last week I got a pair of stretch fleece tights from Aerotech Designs that have turned out to be absolutely fantastic. They're very soft and comfortable and surprisingly warm considering how thin they are. The fabric does a good job of cutting the wind too. I've worn them on rides when it was as cold as 36 degrees and stayed perfectly warm without wearing anything under them (except shorts for padding). With a pair of long underwear under them I'm sure they'd be good down into the 20s, maybe even a bit lower.
If you don't need a tall size, the price is $39.95. If you wear tall sizes, the price jumps up quite a lot to $59.95. I had to pay extra because I'm 6'4", but the size large tall fits me great. And for tall cyclists, this is the only game in town as far as I can tell after an awful lot of searching.
(I'm not affiliated with this company in any way - Just trying to spread the word about a good find).
Now if I could just keep my toes warm...