I would always start out with non cotton long underwear that is comfortable and warm. But under the long underwear top you should wear a polypro under shirt. Then I would wear warm and comfortable polarfleece sweats, then a polarfleece sweater. Socks wise start with a polypro liner and then a thinner pair of goretex socks, and then thick wool outersocks. Make sure your boots are water and wind proof and rated to at least 40 below.
I then wear an insulated pair of water and windproof gore tex outer pants. Last of all, a thick, high quality parka that is well insulated and the outer layer is gore tex will keep the wind and snow away from you. I usually wear a fleece head guard and then put the hoods of both my polar fleece sweater and then my parka on.
Like this, I am comfortable in bitter cold temps, even at 30 below and high winds. So usually when everyone else is b***hing about how cold it is, I am honestly toasty warm and catching fish. If you get cold easy, try a good pair of insulated goretex bibs, subsitute the parka for a one piece snow suit. But the key is you must have properly fitted layers underneath.
As a general rule of thumb avoid cotton because it holds in moisture.
Tyler