wool!
I wear some older cashmere sweaters (no longer pretty) as teeshirts under other bike stuff. You can buy this stuff at goodwill or salvation army if you don't have any old sweaters of your own...

And of course I just bought the ibex wool knickers... and then i always wear wool sox, all year round. I also have a light wool pair of long johns...

Then... booties... these are nice... I wear them all winter.

Then there are these little cap things that fit nicely under your helmet..
they keep in heat like you wouldn't believe. I used to wear bulkier stuff
but this works just as well and fits better.

lastly, OVER your nice bike gloves get some of those really fluffy black gloves. They are made of fleece. until you warm up (if you do) they will save your hands from misery and numbness.