I rode last winter, but not when it got too cold. Lights are a necessity. For clothes I would wear a capilene undershirt, a thermal Pearl Izumi Jersey and a PI windbreaker cycling jacket on top of that. I used a pair of thermal leg warmers with regular cycling shorts, and a thick pair of socks with my regular gym shoes on my MTB, or thinner socks, my cycling shoes and a pair of booties over them when I took my road bike. And of course gloves, but nothing too thick. I have a pair of PI full fingered gloves that would be OK, and also a pair of neoprene gloves that didn't keep my fingers warm at all. I would wear a wool beanie under my helmet on the coldest days that I'd still ride.

I was usually pretty much warm, but I do remember my fingers getting cold so I have to work on that. I also have a nerve problem in my fingers that gets a lot worse in the cold, and that just hurts.