Lots of good information in this thread. Here in Minnesota, the season of riding in 40°F is mostly already done. We are now thinking of riding in 10 or 20 °F. I don't necessarily agree that 40°F is a difficult temperature for riding. It's cool enough to be refreshing but not so cold that issues of real frozen pain in the hands/feet/cheeks becomes an issue. What IS a challenge during the swing weather is those days when the temperature changes a lot during your ride. A long morning ride during this sort of season can begin at 40 (or 35 °F, or....) and then end at 65 or 70°F. It's really tough to dress for conditions that are going to change so much over the course of the ride.
Anyway, some general points about cold weather riding:
*Layering is not just for your core. Instead of finding the warmest possible gloves or mittens, I recommend medium weight gloves and glove liners. Glove liners do wonders. Of course, in the real cold, lobster claws, bar mitts and chemical hand warmers are the way to go. But still with glove liners.
*The cheap shoe covers (i.e., Pearl Izumi, Louis Garneau) get ripped to shreds in a season or less. This year I'm using Endura neoprene shoe covers and they seem much more durable and also warmer. For really cold weather, a warm cycling boot is essential. People favor Lake or 45 North, but I think I get almost as good performance from the much lighter Bontrager OMW, which features an inner and outer boot system (again, layering!). And yes, sock liners too. Merino of course.
*Yeah - Merino, Merino, Merino.
I also endorse keeping notes as to what works at what temperature. At the beginning of every winter, I can't remember the exact combination that was the sweet spot at, say 40, 30, 20, 0 °F. Do I need the heavy gloves at this temperature, or will my hands sweat with them? So I keep extensive notes and consult records from previous years.
And circling back to the beginning, if the roads are dry, I really love a nice brisk ride at 40 °F. It feels cool but enjoyable in the fall. And in the spring, after tolerating far colder, it feels like liberation.