Ditto on hiking boots - I have a not-too-much-fabric/mesh pair that I wear on cold days (around 25F or less). I love Outlast for sock and glove liner material, plus a medium weight Smartwool hiking sock. The thick ones leave me colder than the thinner ones, like folks say above if they're too tight you'll be cold. And my cold weather tights go right into the boot cuff -- gaps in that area can be pretty chilly.

I haven't had to yet, but if it were super cold (below 5F) I may try plastic bags between those layers to up the comfort zone. Some folks also swear by the waterproof sock method, similar vapor barrier idea.