I wear whatever works: I find a GoreTex parka as an outer layer works really well to keep the wind out and then I don't have to worry about the underlayers as much -- they are just insulation. That is usually just a fleece or a sweat shirt. And, under that I'll wear a cottton turtle neck and under that a cycling specific underlayer.

And, I have a couple pairs of old running pants with zippers at the ankles that work really well: they are fairly warm and windproof --- but they also wick away perspiration so I stay pretty dry. And, under them I wear biking shorts (actually underwear -- they are meant to worn under something.)

On my hands I wear either a pair of cycling specific wind-proof gloves or a pair of insulated ski gloves...

Basically: if I didn't already have something that worked, I bought it at my LBS.