When I was a messenger I always wanted to be a little cold for the first half hour or so of the day, then once I warmed up I'd be fine(not sweaty) for the rest of the day. But now that I'm commuting and it only takes a few minutes, I end up usually overdressing, and sweating a bit as well. But, as a bunch of folks have already said, it's best to use wicking fabrics that don't get damp and stick to you.

Another shop that has a pretty good selection of winter clothing, and surprisingly good prices is R&A out in Brooklyn. I know some of the guys there are jerks and all, but if you can get past that it's worth a look.

And S_9, how was the Manhattan bridge? Any ice up there still?