I ride as a bike messenger for about 7-9 hours, currently in temps in between 0 and -5C. On my upper body I wear 2 short-sleeve jerseys and 2 long-sleeve jerseys, though sometimes I take one of the LS off. Above that, I wear a jacket that's windproof and has some "fleece" on the inside. The jacket has zippers to take the arms off. I leave those half open for ventilation.

On my legs I wear long, windproof cycling pants and above that "thermo-pants" with some fluffy fleece inside. I don't like arm-or leg warmers because they tend to slip downwards and bunch up around your wrists / ankles, which is really annoying.

On my feet I wear 4 pairs of cotton socks and Neopren shoe-covers. Main problem here is that the metal cleat transfers heat to the outside easily. For that reason the foot I usually set down (my left), becomes notably colder than the other.

If it's above freezing and wet, I use plastic bags around the socks. This will at least prevent freezing water from soaking your socks.

On the hands, I wear thin insulation gloves, covered by larger five finger gloves, supposedly designed for "autumn weather".

For my head I use a thin, windproof balaclava and a normal helmet, as well as clear glasses. I've found that a helmet cap or closed helmet is entirely too hot and will make me sweat like crazy. Goggles narrow the field of vision too much for my tastes.

The climate here is different form most of North America though. Daytime temps rarely drop below -10C (and usually hover around freezing). Our main challenge is very frequent rainfall, so the present below freezing temps actually make the riding more enjoyable I would say. The coldest I've ever ridden in was about -20C, but never for longer than about an hour..