Agree with most everything said so far, but want to add, your inner layer is key on the really cold days. Thermals and socks should not be cotton. Cotton will hold in any moisture in the fibers and if you go from warm out to cold or active to less active outside you will chill quickly. Wool or a synthetic fiber with wicking properties work best. Good hat is essential as well.

There are also some ‘system jackets’ that I use. Inner is usually a fleece, This zips into an outer shell, usually more weatherproof and hooded. So you basically get three levels. A fleece for cool days, A light jacket good for wind and rain, and both together for harsh days.