Northern Canadian here. Your worst enemy in the cold is wetness. As others have said, layers are key. Silk and wool are top of the list, but synthetics are okay, too. Silk and wool are expensive, synthetics are cheaper. Do NOT wear cotton. Cotton gets wet and stays wet. It truly sucks in cold weather.

Sweating makes you wet. You have to match your layering to your activity. If you are going to be active, don’t overdress. You should feel chilly when you first start your activity. A common trick is to layer up, then take off your parka to do physical activity, then put it back on when you are done with the activity. Some jackets have pit zips that you can open to shed excess heat. If you are going to sweat, plan it so that you end up indoors somewhere you can dry out. Don’t sweat and then plan to stand around or sleep outside.

If you are going to be mostly standing around, you need big, bad-ass Baffin-style boots, which are heavy. If you’ll be moving around, you can use insulated hiking boots and wool socks. Bring extra underwear and socks because they get wet.

Mitts and a touque are mandatory. Bring two sets because they get wet. Gloves are much less warm than mittens. You can layer that, too. A very thin synthetic glove inside of a mitten works when you need to take off your mitts to work on stuff. It is also worthwhile to get a thin, synthetic balaclava to help prevent wind burn and frost bite. Fingers, toes, and cheeks are the most susceptible to frost bite.

Grow out your beard if you are a dude.

In terms of less intuitive tips, as someone else said, if you start getting cold, expelling urine and faeces really does help. Also, stay hydrated. You get cold when you get dehydrated. You may not even feel thirsty, but cold air is dry air and you will get dehydrated quicker than you think in the cold. Especially if you are shoveling snow.

Shoveling snow sucks, so people tend to rush. The key is to go slow, especially if you are older. You will build up heat rapidly if you are shoveling. Avoid sweating too much, unless you have somewhere warm to dry off. Even if you aren’t shoveling, manhandling a snowblower will make you sweat heavily, too.