I went out on my first ride in almost 2 weeks because of finals and studying. Weather has cooled down a lot since then. It was in the 40F range this morning and I was freezing my butt off. I'm not used to riding in this weather and to boot I don't have the clothes. I'm still riding shorts and a jersey with arm warmers. That's not going to cut it anymore. Went about 5 miles into my ride and had to turn around, my fingers were numb and I was having a lot of trouble getting warm and breathing.

So my question is, what are my options? Gloves I'm sure I can figure out at the LBS. But as for jackets, baselayers, windbreakers, kneewarmers, tights, or whatever I have no idea what to pick. I would prefer not to spend a lot of money, being the poor college student I am.

Thanks.

40F = long sleeve base, (merino wool or poly), ss or ls shirt/jersey (your pref), wind vest or light jacket, bib knickers/tights or pants/jeans, med weight wool socks, full fingered gloves, wool or fleece skull cap.

You definately need to wear clothes when its cold. Clothes are what you need.
Maybe you already have clothes you could use; most people have some clothes. Try raiding your current sports wardrobe before splashing out. You dont have to get expensive cycling stuff. I find that general outdoor/sports stuff works fine and no-name models work about as well as major brands.

Essentials are a breathable windproof shell. These can be picked up cheap and the more expensive waterproof ones will get clammy. Some tights or sports pants for your legs.
For an inner layer you can use your cycling jersey. A full-arm wicking T shirt is a good investment.
For midlayers , thin woollen sweaters work fine.
For extremities, gloves, woolly socks , neckwarmer tube, beanie hat.
If you have to stop you need an extra layer so carry a spare jersey/woolly jumper, hat ot whatever to stop you chilling out.
Get some clothes!

pretty much it right there.