Craft base layer with short sleves - these are great. They are available at better LBSs and cost ~$40. It has a longer back so that it stays tucked in. It is supposed to fit very snug. Mine fits like a skin suit.

You will also need arm warmers and leg warmers. I have Pearl Izumi. For the leg warmers, buy them smaller. They should fit tight. I take a medium. They also seem to stretch after washing.

It is never ending but much cheaper than golf or skiing.