Here's my 2 cents as a year round Chicago commuter. When it's cold I wear a smartwool tshirt and an old Marmot windstopper fleece. You don't need anything more until it gets below 15 degrees because your core will warm up (I'm often venting my fleece when its 20 degrees!). When it gets below 10-15 degrees I will add a wool sweater I bought for $2 at Salvation Army. (I note here that I wear that sweater with my wool t-shirt when the weather is between 30-40 and skip the fleece altogether).

I think the key is keeping the extremities warm. I wear midweight Pearl Izumi gloves until it gets below 35, but then I switch to the lobster-style gloves. I wear a balaclava and ski helmet when it goes below freezing. I wear one pair of socks, one pair of cycling tights, and a pair of knickers almost exclusively from mid-November to March; regulating the lower half of the body is pretty easy and I don't ever find my legs freezing or overheating.

Bottom line - I bet that old fleece in your closet and a wool t-shirt will carry you through most of a Chicago winter. When it gets REALLY cold just add a wool sweater. Spend the money on good gloves.