My favorite is wool. Mostly I deal with damp and chilly, and wool works great for that. Expensive stuff, but you can find it on sale here and there. (biking knickers, socks, shirt, sweater, helmet liner, gloves)

I also wear man-made fiber running pants (nice tight cuffs) over biking shorts. But I find wool keeps me more comfortable.

Windpants/rainpants over whatever you are wearing can be a great comfort. I have a pair of hiking pants with elastic ankles and zippers on the side, they're nice for venting.

Try Sierra Trading Post ( www.sierratradingpost.com ) and the REI outlet ( www.rei-outlet.com ) for stuff at really good prices. I got a pair of wool long underwear bottoms for about $20, rainpants for about $20. It seems like if I get the legs taken care of, the rest of my warmer clothes can just come from what I already have for everyday wear.