I just purchased a Pearl Iszumi windshirt with zip of sleeves. I was looking at a rain jacket with zippered pits, and opted for the PI a little cheaper, and versitile. One of the cool things with this shirt is, over a wool sweater, with or without sleaves it is pretty toasty.
I have ridden in the winter with a "rain" pull over that I swam in due to the fabric not breathing, and even with this windshirt, while it is a little more breathable, I still wind up with a moisture problem. I started the winter in that rain shirt and hated it, and the PI has been a great solution.
With layers, you don't need a thick top layer, I'm riding in 20s with a base layer and a virgin wool sweater. I carry a heavy sweater as well, but really sweat it up in that sweater.