i use think silk long underwear (got them cheap at REI)—wicking and dry enough for pants, think like pantyhose (just slightly thicker—or very similar to "old pantyhose" when they were more commonly made of silk and required garter belts [the long underwear require no such belt!], and recall an earlier posting about fetishes); they are also surprisingly tough and warm for their weight.
i wear winter bicycing tights down to about 35°, and below that i wear the silk long underwear under the tights—they don't get bunchy or in the way, and don't noticeably reduce movement, but they do a great job of keeping me warm! did i mention they were pretty cheap compared to the synthetic fancy-name-brand alternatives? oh, and for the hairy-legged (i.e., the naturally insulated), they don't mash the hairs like heavy-duty synthetic long underwear does!