Wool Socks - Wigwams are good and thick. I've worn them in 20 degree temps and my feet never get cold. Yeah, they're not stylish - but they work. And I can ride my bike longer each year.

I wear Chrome shoes or Adidas Sambas in the winter. A leather shoe blocks the wind very well. (I don't ride clipped in though.) I use BMX platforms with pins on all my bikes. Holds your feet on better than you think, and if you meat-grind your calf right-off-the-bat, you learn to only slip off once.