Always wear base layers that are made of moisture-wicking material. Synthetic materials, such as polypropylene, Capilene or Techwick, work to wick away moisture and will dry more quickly than natural fibers. Cotton should never be worn, but wool does still maintain its insulating properties when wet. Wear a base layer shirt and long johns. There is also underwear made of moisture-wicking fabric that should be worn under the base-layer shirt and leggings. Base layers for hands and feet are wicking glove liners and liner socks, if your hands and feet get cold often. Even if you are a "warm" person, it is good to have these things on hand in case you encounter an especially cold day in the negative digits with wind chill.
Mid-layers are what will keep you warm. These layers are usually thicker than the base layers, and their purpose is to trap dead air space and prevent the warmth of your body from escaping. Fleece, pile, down, wool and PrimaLoft are all examples of mid-layers. Again, don't ever wear cotton for any layer. Mid-layers for hands and feet include thick, insulating gloves or mittens and regular ski socks, such as those made by SmartWool. A winter beanie hat, balaclava or neck gaiter is usually worn on the head under the helmet.
Wind, snow, sleet, fog and sometimes rain are what you may encounter while skiing, depending on where you ski, and outer shell layers will protect you from them. The base and mid-layers can be compromised by the elements if you don't protect them with outer layers made of materials that are windproof and waterproof, such as jackets and pants that are finished with Gore-Tex XCR or Gore-Tex Pro Shell, Patagonia's H2No or Mountain Hardwear's Conduit Silk. Other outer layers are waterproof shell over-mitts to go over your gloves in wet conditions. Your feet are taken care of naturally by the waterproof plastic of your ski boots, and your head should be covered by a helmet and goggles.