There's so many different options these days. Everyone dresses differently.
In summer i usually wear Bib Shorts with a short sleeve merino jersey. If i'm expecting rain i have a lightweight showerproof jacket that blocks some wind as well, usually sits in my jersey pocket.
On colder days i wear a pair of long legged tights on top of the bib shorts, and a long sleeved merino jersey. Sometimes a short sleeved baselayer (merino tee) underneath.
Another option is to wear arm & leg warmers, basically just sleeves that take up less space in your pockets.
During fall/winter there are thicker jerseys that can be used as a jacket, but they're not very waterproof.