I am a total cheapskate when it comes to cycling gear and I don't think I've ever paid full price for anything in my closet. I don't generally buy a lot of cold weather gear because I'm in California--I only have arm warmers, a headband thingy that goes over my ears, and a windbreaker. That is enough for cold days for me.

I know REI has sales a few times a year with used gear for co-op members. (It's a $20 one-time fee, and you get great benefits like being able to return items for life). I'm a co-op member but I've never gone to one of the sales so I can't say whether they're worth it.

Have you checked out the TE sale section? Amazon is also good. And Bike Nashbar. You might also want to check places like Target for non-cycling specific fitness items like tech shirts for layering. And things like arm warmers and leg warmers are used by runners as well, so you might want to check out your local run shops.

Lastly, you can check into what local running and cycling events are going on nearby. Those events almost always have tents with vendors selling gear at steep discounts. There is one cycling event with a sock guy where I load up on socks for $2.50 a pair.