The big thing for me is a wool or other wicking layer next to the skin--including sports bra. I get cold even in summer (if it's a cool morning) without it. I add multiple layers on top of that between me and the jacket, depending on how cold it is. Arm warmers next to the skin, with whatever else piled on top of it. Leg warmers under a pair of lined nylon track pants (I tuck the right hem into my sock). I bought a pair of thermal tights, though I haven't really tried them out yet. Wool socks. Winter gloves, though I'm adding glove liners at some point.

Yeah, I look a little weird, but I'm okay with that.