Hey, Hotrod, your question is a very good one. It is prudent to educate yourself on cold weather survival and the clothing necessary for such.
Here is what I recommend (based on cold weather outdoor experience and wilderness survival training):
- the idea behind staying warm is this: your body puts out a thin layer of warm air around itself. Your goal is to keep the elements from taking away this heat. You accomplish this goal by putting layers of appropriate types of clothing around your body to trap that naturally-produced warm air.
- Fleece traps body heat well. However, it doesn't hold that air well when there is wind. Down traps warmth very, very well, but loses the ability to hold warmth when it gets wet. Wool traps warmth well but isn't generally spun to block wind (but, it is possible). Wool holds warmth, even when wet. Polypropylene insulates well and holds heat when wet. It dries quickly and can dry out your skin. In general, natural materials will burn, but not melt. Man-made materials will melt.
- Some people are allergic to some of these materials. I have a friend who gets very red and itchy when he wears acrylic. Some people are allergic to lanolin, the oil that occurs inside wool. Others are allergic to down. This is something you may or may not be aware of on yourself. If you notice problems when wearing a certain garment, check out the materials it's made of and compare to other garments that don't give you any grief.
- cotton kills. If it's cold outside, and you're in the wilderness or a survival situation, don't wear cotton. Polyester, namely fleece, holds heat well, even when wet. Wool holds heat very well. It is my favorite insulation layer, so long as it's not next to my torso (too itchy). Polypropylene is an excellent insulator and dries quickly. For a next-to-skin layer, get some thermals/long johns made of any of these materials, or a blend of these materials.
- basic rule of thumb: if your feet are cold, put on a hat. Up to 70% of the body's heat is lost through the head and neck. A wool or thinsulate-lined stocking cap is an excellent heat holder. Even warmer is a fur-lined, Russian-style hat. It's like a heat cave for your head. And, it looks "cool", to boot

A scarf or neck gaiter also makes a big difference. And, finally, some good gloves will go a long way.
- take care of your feet. Wool or wool/synthetic blend socks can be life-savers. In colder weather, I like a polypropylene liner sock topped by a good brand wool sock. There are several brands I like - Thorlo, Smartwool, Wigwam, Cabelas, REI, to name a few. When it comes to socks and boots, get quality. I can't stress this enough. Your feet, hands, and head are your lifeline, so get good clothing and take care of them.
- layers, layers, layers. You never know what the weather will do

There are 3 main components to the layers (as previously stated): 1) next-to-skin. This layer needs to hold heat when wet (no cotton allowed!) and be comfortable. If you are going crazy from itchiness or poor fit, look for a garment that will feel good. Campmor is a good resource for decently-priced thermals. 2) insulating layer. This layer is often made of polyester fleece or wool. Fleece is lighter but can melt when exposed to flame. Wool is heavier but doesn't melt. A wool/cotton blend may be acceptable, here (if the climate isn't too cold or wet and you have a way of staying dry). 3) shell layer. This is the layer that keeps the wind and precipitation from ripping your heat away. This layer needs to stop wind and wet. Gore-tex works well, if taken care of. As a side note, most Gore-Tex products are nylon-based, which melts when exposed to heat sources, but Cabelas is coming out with some cotton and, maybe, wool garments with Gore-Tex. Worth looking into. As an outer layer, there are lots of styles of coats/pants/bibs available.
- wind and wetness are the 2 most dangerous elements in cold weather. They can rip the heat out of your body faster than you can imagine. Wetness can come from precipitation or sweat. Therefore, if it's cold or you anticipate cold, wear clothes that will hold heat, even if wet. And, have a layer to block wind, especially on the torso and head.
- wear layers that won't constrict your circulation. Heat is carried through the body by your blood. If you cut down the blood flow with tight clothes, you will lose out on heat. Over time, this can be dangerous.
Well, I hope this wasn't overly-redundant

Get yourself a Cabelas catalog and look through it. They've got a lot of good gear for decent-to-good prices. Check out the gear on the following web sites:
http://www.cabelas.com
http://www.campmor.com http://www.sierratradingpost.com
http://www.rei-outlet.com http://www.rei.com
These are a few reputable outdoor-stuff dealers. And, you are right, this is a great time to snag some nice, bargain-priced winter-wear! Happy hunting and ask away if you have any more questions!
-TroutTamer