I mostly wear wool when it's cool or cold. It doesn't get cold and clammy like cotton or synthetic fibers. I have several Smartwool pieces, from lightweight to heavy weight, but I'd note that you don't need to wear cycling specific wool. An old wool sweater from Goodwill can work just as well. I have two jackets: A Pearl Izumi lightweight windbreaker and a more heavy duty Gore Windstopper jacket with removeable sleeves. Arm warmers are pretty handy and versatile, too, for changeable weather.

For my bottoms, I have everything from legwarmers to knickers (Shebeest Pedal Pushers to be exact) to tights (Sugoi Miz and Sub Zeros). For cool weather, I prefer the knickers, as I don't mind if my lower body gets a tad toasty by the end of the ride. I just find them more comfortable than legwarmers.

I'd add in wool socks, toe or shoe covers, head band and/or hat, a balaclava or buff, windproof gloves and glove liners. My feet and hands are my biggest limiters.