Layers - get a good base layer, merino wool is the gold standard for these. You also want to get a neck gaiter, plus some merino wool socks, and some kind of cap. These will keep you warm and dry throughout most cold weather. Add more layers on top when outside, and remember to remove layers proactively if you feel yourself starting to sweat - it’s never a good idea to be wet in cold weather. The base layer will make physical exertion a pretty hot affair quite fast, so you’d be surprised how fast the sweat starts pouring.