Layers are the key, but to be honest I don't really get that cold when I ride in winter. Wool socks are a must, but I often wear jeans. I usually wear a thin wool top and a windproof jacket, and this is when it is -40 celcius. Right now it is -10 celcius and I just wear a hoody, nothing special.

Studded tires are key if you get ice and snow.