My winter commutes have generally been less than 4miles so I just wear what I'll wear to work. Possibly with a pair of tights under my jeans or a pair of rain pants over to stay warm when it gets down below 0F. When training in that kind of weather I wear my fantastic windbreaker tights. Not sure what the brand is, but I think it came from REI. It's warm and keeps the wind out. And it will fit over cycling shorts when the time comes to need it. Unfotunately, here in SE England I'm not so sure I'll need it. At least last season we didn't get any decent winter weather. It never even went below 0!