I agree with HardyWeinberg above. I've got a base layer of SmartWool (tights, jersey, and socks). Over that all I ever need wear is rain gear. I've got a pair of pants and a jacket that I got from J&G in Beaverton (I think -- they're somewhere in Oregon, I know), and a pair of shoe covers I got from MEC in Vancouver, BC. I've also got a skullcap that I wear under my helmet.

I might be a little cool starting out, but by the time I've gone a mile or two I'm warm and toasty the rest of the way.

My biggest problem used to be wet gloves, but I've solved that by having glove dryers both at home and at the office. In addition to getting my gloves dry, I get the added bonus of that nice toasty feel right when I put them on.