For winter cycling you don't buy a heavy winter jacket, for best at staying warm you wear at least 2 layers:

1. A windproof "breathable" out layer. Gore Windstopper is expensive but has a good reputation for being both breathable and windproof (not waterproof though, just water resistant).

If you need waterproof, this guy here says the Gore Active line is the only one that he'd actually recommend for cycling:
http://www.bikeforums.net/road-cycli...l#post17233777

Gore says that Windstopper is 10 times more breathable than Goretex though (though again Windstopper is not waterproof, not really a problem at 20 degrees though).

2. A wicking, very breathable base layer. Usually either merino wool (smartwool) or synthetic material.

You regulate how warm you are by changing how many layers you have. Merino wool is a great material for covering a wide range of temperatures, but if I'm biking at 0 degrees I'll wear 2 layer of the long underwear pants, and 1 long underwear top with a smartwool sweater, all underneath the outer shell.

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There's a couple of reasons why they do it this way that come to mind:
- Wearing the inner layer tight to the skin provides the thinnest material, for best breathability
- Wearing the inner layer tight to the skin wicks the moisture away from the skin the best
- The inner layer has to be separate because it's going to have sweat pass through, and thus will need to be washed fairly regularly or it will start to smell terrible