The base layer should always be some sort of wicking polypropylene thermal underwear like Patagonia's Capilene. These types of underwear are usually available in three different insulating layers: lightweight, for fall and spring; midweight, for standard activities in the winter in the lower 48; and expedition-weight underwear for high-altitude mountaineering or non-aerobic activities in winter, like ice fishing.
The middle layer should be your prime insulating layer. Fleece jackets are commonly chosen for this layer, but lightweight and midweight down or synthetic fill jackets are often a better choice, having less weight and more warmth than comparable fleece jackets. Wool is also a possibility, especially for people who prefer a more traditional look, but it is often heavier than fleece.
The outer layer should be some sort of water-resistant or waterproof-breathable fabric like Gore-Tex. These jackets can be purchased in lighter-weight or heavier-duty versions with better abrasion resistance, depending on the activity. So-called soft shells, which are water-resistant and windproof while being highly breathable, are a better choice for more aerobic activities like back-country skiing in milder climates.
Your boots are a critical piece of winter gear, but the type of boots you choose will depend on your activity. For light hiking, moderate snowshoeing or ice fishing, the classic Sorel boot offers warmth and water resistance while being affordable. For winter mountaineering, choose an insulated hiking boot with a stiff shank to assist with kicking steps in the snow.
Always wear a hat, and carry a spare in your backpack. Most of your body heat is actually lost through your hat; an old saying among mountaineers is, "If your feet are cold, put on a hat." For fingers, mittens are warmer, but gloves provide more dexterity. A way to increase the warmth of gloves is to wear liner gloves underneath the main gloves. This also allows you to remove heavier gloves for things like taking pictures without freezing your fingers.