Two pairs of wool socks and Sorel cold weather boots. They are pretty lightweight. But my feet still get really cold when it's below 0 degrees F:
My REI polartec pants. These have extra stretching at the knees and zippers for ventilation--great for biking and expensive. But around late Nov., early Dec. they have this great winter sale when you can buy this stuff more cheaply.
My snowpants. I don't like biking in these. I only wear these when it's really cold, like below -5 F. They are bulky. But warm. I also got these on sale at REI.
My REI outerwear pants. Great again because they stretch in the right places, knees, and butt, and are mostly waterproof. I wear these when it's not too cold.
a lightweight down vest. This thing is so warm it's amazing. got it at Eddie Bauer, on sale. (yes I am a ridiculous consumer--I should be shopping at 2nd hand stores!)
my big bulky down jacket that I got about 15 years ago. I prefer not biking in this, because it's bulky and hot. Today I wore it when it was 0 degrees F and windy, and it was too warm! But tomorrow is supposed to be -20F and windy so I think it'll be cool enough for this baby (housemate is currently saying I can't bike tomorrow but I really want to try it).
My gloves, some a pair of $3 knit gloves as liners to the mittens. I need something warmer than this.
My face gear. white hat goes on first. then face mask--has holes for nose and mouth, then helmet. it's covered with a gore-tex "shower cap" that I got at a bike store one day when it was raining--it's a good wind protector. Then I put my motocross over-the-glasses goggle on. This works well and keeps the warmth in. As long as I don't sweat too much, the goggles don't fog up. Here's a picture of me with the head-gear on.
Most bikers don't dress this warm but I am a wimp who doesn't bike very fast (so don't generate a ton of heat) and I don't have much body fat so I get cold really easily.