I am mostly vegan, although I too will occasionally cave for cheese pizza or a bit of creamer in my coffee. I was having a hard time with this very dillemma for my feet. I finally found a pair of boots made by Garmont that are pretty toasty. They are sort of a winter hiking boot. Not exactly made for frigid temps, but they are a bit big, so I am layering socks in them and they work so far. The model is called "Vegan" oddly enough, and they contain no animal products at all. As far as other gear, I think lycra stuff is vegan and toasty when it wicks the sweat away from your skin.
Good luck!
Kat