Layering is what it's all about!
first layer: wool, if i can help it!
next, fancy jerseys, with the fluffy inside and the shiny outsides.
next; fleece
top: raincoat

headgear: I carry a balaklava and a "hat" that fits under my helmet.
hands:
I also carry 2 or 3 pairs of gloves, so I can change them easily. none of this stuff weighs very much, so it's just easy to carry a variety.
legs:
I wear tights and knickers or long insulated pants.
I also carry rain pants. They are light, and cost between 20-35 dollars.
They are not pretty, but they sure cut the wind.

feet:
wool socks (i buy bike shoes big enough for thick socks)
booties!!