I've found no matter how cold I usually only have problems with hands and feet. I was seriously considering expensive winter cycling shoes, but now I have a layering system that really seems to be working great. Storm Socks (thin breathable waterproof socks), wool socks, mt bike shoes, Sugoi shoe covers (these rock big time, they are sooooo much nicer and warmer and more waterproof than my neoprene pair!!!) Plus I've carefully sealed (with window and door caulk...) around the cleats on the bottom of my shoes so I don't get water in through the cleat holes. My feet are now very happy even in cold and wet weather.
My hands have taken some experimenting. I tried 4 pairs of gloves before I found a pair that I liked, fit me, were relatively warm and water proof and they still were not warm enough.(Interestingly enough the best pair was a cheap no name kind that I got at a tiny bike shop just a block away) So I bought glove liners and use hand warmer packets when its really cold out. Every once in a while my pinkies still get cold, but I've been pretty darn happy. You can get foot warmer packets too if your feet get very cold easily.