Don't wear anything cotton if you can avoid it. It just sucks for cold weather . . . once wet it's worse than having nothing on. Basically you want to be a little cold when you get on the bike so that 5 minutes later when you warm up you're not too hot. I find that most regular winter clothing is much too warm and doesn't breathe enough for biking.
Essential stuff:
- mask or scarf over the face
- Something warm over the ears (you can tape over your helmet vents with packing tape and it'll keep your head surprisingly warm)
- Several different weights of winter gloves/mitts
- Roomy insulated hiking boots (slightly too large keeps your feet warm because you can layer socks without cutting off circulation)
- Wool socks
- I like a layered approach for the upper body . . . usually a wicking shirt close to the skin, a fleece (of various weights depending on temp), and a windbreaker on top.
- I got some polartec tights this year, and they are hella warm for my legs over bike shorts. Previous years I've used just regular workout pants with long underwear beneath, and my crotch was always too cold.
I got fancy this year and bought some clothes from a small company called Foxwear. They're pretty awesome materials for not too much money. The fabrics wick wetness away from you and are surprisingly warm. I'd at least check them out if you're looking for a jacket and some tights.
http://foxwear.net/