Head Gear
The head is the primary culprit when it comes to heat loss in winter. Even though your running exercise will make you sweat, the heat loss from the head area can lead to sluggishness, discomfort, and might even contribute to soreness during the run. Counteract this problem by wearing a beanie that offers a slight bit of warmth without causing you to overheat. Choose the kind that fits snug over your ears, and a major source of discomfort is eliminated. The Patagonia visor beanie combines breathability with warmth.
Put on some vented running goggles if the temperature drops even further. Excessive tearing and even damage to the eye from sleet and icy rain are sure to stop you in your tracks, and only a pair of goggles can counteract this. Most goggles fit over eyeglasses.
Pick Apparel With Breathable Materials
Wear layered clothing that resists moisture. It is tempting to reach for highly insulating materials, but remember that if the moisture cannot get in, it also cannot get out. Before long you will be sweating, the material will be chafing on your skin, and you are going to be tempted to quit. A great solution for a base layer is a crew neck shirt made of micron Merino wool fabric---such as with items you can find from Ibex---that is soft enough to wear right next to your skin, wicks away sweat, and is sufficiently breathable to allow you to stay relatively cool without getting cold.
Bring along a lightweight rain jacket that helps to deflect aerial moisture, should it occur. The best cold-weather running jackets will have reflective coloring to ensure that you can be seen by traffic, even in gray weather conditions.
Remember Your Extremities
Remember to keep hands and feet warm during your winter running. Gloves---made of Gortex or neoprene---are a good choice for hands. A new product on the market is NRS mystery gloves that combine neoprene with thermal plush for the interior comfort and warmth.
Pick polypropylene socks to keep the feet warm and relatively sweat free. If you are running during extreme cold temperatures, add a second pair of socks, made of wool, over the propylene socks. This protects your feet from the cold, wicks away moisture, and prevents chafing. Remember that this might make it harder for your favorite pair of running shoes to fit, so adjusting the laces or keeping an extra pair of running shoes---with a half size difference---is a trick most die-hard winter runners use.