Base, middle, shell. Those are the three magic words when it comes to layering up against winter's chill.
For the base layer, cotton is not your friend. Once you sweat into it, your skin will feel wet and clammy for the rest of the day. So go for a nice merino wool or synthetic base layer.
The middle layer is all about insulation, trapping your body heat and keeping it nearby. For this job it's hard to beat goose down. The outer layer is the one exposed to the elements, so this is the place for Gor-Tex or another material that will keep rain and snow where it belongs, away from your skin.