I'll chime in from my mid to high altitude mountain guiding experience.
Everybody has added a great amount of information so I'll try not to repeat too much.
Layers: There are 2 ways to layer depending on what you are doing. If you are standing still a lot then you already know the standard layering system. Long underwear, mid-layer, shell. The problem with this system is that if you get hot you usually have to stop, take off the shell, remove the mid-layer to stash in your pack, and then put your shell back on. Reverse the order when you start to get chilly. It's time consuming and a pain on the move.
If you are moving hard and fast then you can layer in this order: long underwear, shell and then insulation. The key here is the shell. I don't spend much time in wet environments anymore since leaving the military so I don't wear hardshells (i.e. Gore-tex, Triple Ceramic, eVent, etc.) if it's not raining. I wear softshells instead, which are highly water-resistent, are incredibly tough, block most of the wind, and breathe much better than most hardshells, depending on which materials you are looking at. This serves as a second skin, but it works much better than your own. Over that I layer my synthetic-filled or down jacket, again depending on the environment I'm in.
Of course, "cotton kills!" so avoid it for anywhere except the desert (where you can still get hypothermic at night, so beware of cotton anywhere!).
I really like thin merino wool for long underwear. Get the thinnest you can find from high quality companies like Smartwool, Icebreakers and Ibex. Go with the superior Aussie or Kiwi merino wools. Merino doesn't itch or stink, and in thin layers dries relatively fast.
Down is great in dry environments. Warmest and lightest insulation out there. Lasts considerably longer than synthetic fills, too. I buy 750+ fill power and up. Lighter and warmer, but it doesn't last as long and it's considerably more expensive.
Synthetics for everything else.
Windstopper is great for some applications. I love it in vests, gloves and hats (as long as the Windstopper doesn't cover the ears, because it also blocks the sound, which is dangerous in mountain environments). I have a couple of jackets in Windstopper but they breathe too poorly for anything beside snowboarding for me. YMMV.
Softshell for gloves, gaitors, hats, pants, shirts, vests and jackets. I'm a fan. Schoeller Dryskin Extreme is my favorite for winter and Schoeller Dynamic for summer and for shirts anytime of year. Polartec makes some great versions also (although Power Shield is too hot for me) and now there are a billion proprietary softshells made by a billion companies but I can't recommend them as I haven't used them. The North Face's Apex Bionic seems to review well as does Arc'Teryx's Tweave.
I make my own modular balaclava that works exceptionally well for me. I use a neck gaitor, a Winstopper (Outdoor Research makes a great one) or neoprene face mask, a head band and 2 lightweight beanies. Relatively heavy but versatile. I mix and match as the weather dictates. If that's too much work and money, Polartec Powerstretch makes for the best balaclavas I've ever used. The Cateye Balaclava from MontBell is hands down the best, IMHO, and they make a version without a top on it (for venting) so that you can add your own beanie(s). Awesome for fast-paced activities.
The key is to stay cool and try not to sweat too much. Cooler muscles work more effectively. Sweat leads to hypothermia, chafing and general sticky uncomfortable ickiness. Zipper openings on your long underwear tops. Pit-zips or large mesh-backed pockets on your shells and mid-layers. Breathable materials.
Smartwools and Darn Tough Socks are the best socks I've ever used. Period.
Don't buy cheap gloves. In extreme cold cheap gloves means fewer/no fingers. My favorite gloves are from Black Diamond. I prefer to layer gloves like I do my body. Thin glove, warm glove, shell. You can get good system gloves from Black Diamond, Outdoor Research, and MontBell. If you like thinner gloves go with softshell or Windstopper.
My favorite boots are from LaSportiva but these are hiking, climbing boots. Sorels are good if you're not moving too far.
Chemical handwarmers are great. Get small ones and you can shove them in your boots and gloves, pockets, under your hat, etc. There have been a lot of ice climbs I wouldn't have finished without handwarmers in the back of my gloves.
Perhaps this information is too specialized for your needs, but just my .02.
Kage
, So this is lesson#1.
