I wear a Goretex shell type jacket, with zip off sleeves that I love. As it gets colder, I add layers underneath. My threshold for cold is about 34o, and I will have a base layer on, then a long sleeved heavy weight jersey. Then the jacket, worn with a neck gaitor, and/or a balaclava under my hood. I have the Terry cold weather tights, wool socks, and my big splurge last winter was the Sidi winter boots. I love those!

While part of me would like to have a heavier weight jacket I don't think it would make much difference. The layering works very well for me.