Layers, layers, layers! I have leg warmers, arm warmers, cycling pants, cycling jacket, cycling windbreaker, long sleeve/leg wool, winter cycling shoes, under armour long sleeve cold weather jerseys, lightweight base layer, long finger gloves, skull cap.

I mix and match. I ride enough in colder weather to justify the combination of clothing I have purchased over the years. For underlayers, any technical type clothing will do, But I find cycling specify outer layers to be worth the price. Aerotech makes decent budget cycling clothing and buying after season on sale helps a lot.