I live right on Lake Michigan and it gets windy, cold, icey and you could really get me going on the Lake Effect Snow . . . I've been running the last few winters in the cycling off-season to stay fit. Here's what I wear that seems to work:

Shoes: Montrail Hurricane Gortex Trail Running shoes. They are heavier, but they keep the feet dry and warm. Plus it offers better support on the icey, snow-covered roads.
http://www.usoutdoorstore.com/outlet...e___Womens.htm

Socks: Smartwool running socks

Legs: PI Running tights--make sure socks are secure under tights.
http://www.pearlizumi.com/product.ph...color_code=021

UpperBody: Patagonia Capilene base-layer w/ long sleeves--tuck into tights so you don't get wind burn on your tummy!
http://www.patagonia.com/web/us/prod...TIVE/TECHNICAL

Outerwear: Mizuno Thermo jacket
http://www.mizunousa.com/equipment.n...A?opendocument

Head: http://www.mizunousa.com/equipment.n...9?opendocument

Hands: http://www.mizunousa.com/equipment.n...8?opendocument