We live on the Canadian prairies, in (alas!) the coldest major city in the world. When our kids were toddlers, we bought Canada Goose one-piece snowsuits. They cost an arm and a leg but we were concerned that at a very young age, kids will not tell anyone when they are cold. Case in point: Once, when my youngest was playing in the snow with his friends, I found him sitting by the door crying and shivering. He was crying because he was cold, as he had gotten snow in his boots. He was sitting in the snow because he did not want to go inside while crying. Over the next 45 minutes we gradually warmed his feet.
For toddlers, I would make the same choice again. Canada Goose is really, really good. However, for older kids, it gets too expensive.
When the kids got a bit older, we bought down parkas at Sears. They were decent. With Sears' bankruptcy, that may no longer be an option.
Around age 8, I ordered Eddie Bauer down parkas on clearance. I have been wearing the same Eddie Bauer parka for 11 years and they are a very good value proposition if bought on sale. We combine this with cheapo snow pants from Wal-Mart. Our kids wear through two pairs of snow pants a season and we found that for pants, basic polyfill is enough.