This is what I use, though much of it is multipurpose gear from climbing or skiing and not really running-specific. Also, much of it was purchased on clearance so I don't really think brand is important as long as you look at quality and material.
Legs:
Tights, thick UnderArmour for very cold days. I now have a pair of fleece-inner tights from Nike but the sizing is off and it is too large for me so probably will stick with my UA. LOVE my UA tights! Note though, mine had really tight elastic on the ankle cuff and I had to cut the elastic. Love them now though.
Light- to mid-weight Smartwool Hiker socks for my feet. These are sufficient without adding too much bulk to make my running shoes fit weird. My feet honestly don't get too cold, unless they get wet.
Wind protection for my legs (for only the coldest of days, like -20F) was a cheap pair of running wind/rain running pants that have nifty reflectors on them. I think I got them on steepandcheap.com and they are probably my only single-purpose item. Actually I have no idea where they are... I should look around for those!
Torso:
TNF Flight series long sleeve. This has a nice weight, fits snug and is a fairly thick material (not overly thick though). Very breathable, I got it on sale so don't know about cost. Like this, but an older version: http://www.thenorthface.com/webapp/w...ariationId=612
Underneath I'll wear a regular sports bra if it's around freezing, maybe a synthetic tank under if it's colder.
For really cold days I have a cheapo thin REI brand softshell that I like for wind blocking. I tried to wear my Arc'Teryx softshell but the material is much too thick and I was really overheating.
Head/Hands:
Ski cap if it's 0 or below, nothing special here. I think the one I have is wool with a fleece forehead band. Honestly I only use this on the very coldest runs.
Fleece TNF Head/ear warmer band if it's around freezing down to 0. My head likes to be open to help the heat I generate while running dissipate.
Cheapo cotton stretchy gloves for my hands (i bought like 3 pairs at target for like $5 and they work much better than any other more expensive type. I haven't found my hands get very cold while running)
Sunglasses or my clear cycling glasses are essential for cold windy runs.
For days around freezing, I'll just wear the tights with longsleeve shirt and headband/gloves. As it gets colder I add more. The coldest I've run was at -20F at 5 in the morning and I wore alot of layers but most of them were thin and I think I removed a few as I ran. THe important part was wind protection at that temp.