Not knowing what you already have, I'd suggest the things in my own cycling wardrobe and gear kit that I really like or have found a good use for: arm warmers, toe covers, knickers, buff, thermal headband, thermal hat or beanie, full fingered cold or cool weather gloves, top tube bag, rear tail light, light windbreaker, windproof winter jacket, Zen and the Art of Road bike Maintenance, extra set of tires and tubes, Smartwool socks (try their ultra light weight), Smartwool or Ibex baselayer.