Most winter days I wear a base layer, an insulating vest, and a windbreaker. I use a Patagonia Houdini jacket, which is very light but very wind resistant.
It’s important to keep your layers snug and fitted to yourself and each other so that every layer breathes properly and you don’t get clammy.
I stick with wool or synthetic insulation, and don’t use down because it’s less effective when wet and it doesn’t do well with repeated wash cycles.