I"m allergic to wool -- I can get away with the "nice" kinds in leggings if it's not actually touching my skin and there's a layer over it (I accidentally acquired a pair), but I'll start sneezin' and congesting ...
Windbreakage and layers are critical for me. I've noticed that Ihave acclimated -- I don't need to wear as much as I used to. Still, I tend to overdress and I'll be four layers thick if it's below zero. It's gone to single digits this year but I was comfortable without ski goggles.
The other thing I do when it's very cold is warm up before going out. Six minutes on the trainer works really well; a few crunches and jumping jacks if I'm in a hurry.
And thirdly, circulation is rather important. I got these really cute lights to go on the fingers of my gloves -- but whatever finger it's on will be COLD. I suspect that the reason my hands *don't* get cold liek other folks' is perhaps because I only wear one glove on each hand, and I make sure my backpack straps aren't blocking circulation, too.