When it's really cold, I wear
Nashbar polypro gloves as my base layer, followed by army surplus sniper gloves, followed by army surplus mittens. I'll try to find pictures of the army surplus stuff.
The mittens are incredibly bulky, but I use barend shifters on my commuter so I really don't need fingers for much of anything. Truth be told, if it's cold enough for me to wear the army surplus mittens, I probably won't be shifting much anyhow.
[edit: found a picture of the sniper gloves, still looking for the surplus mittens.]
This is the closest picture I could find of the mittens I use. Mine are pretty different looking, but you get the idea.