Catrin, do you mean tights for endurance sports or tights you wear with regular clothes? I was thinking we might be talking about 2 different things.
I generally don't ride below 40 on my road bike, but I do ride in the 30's on my hybrid during the winter. I wear my cycling shorts, unpadded, fleece lined tights, and wool x country ski socks. Sometimes I wear my wool Ibex tights that I use for skiing.
I know a lot people here wear knickers, but I couldn't leave one bit of skin exposed if it's below 50. I wear knickers when it's between 50 and 65. Knickers generally don't have the fleece lining that tights have.