Winter clothing keeps you warm primarily by trapping air next to your body (insulation). But when being active in winter and spending multiple days in the same clothes, insulation alone is not enough. It has to stay dry, not just from the outside in, but from the inside out. This is where specialized outdoor clothing is literally a lifesaver. Wearing cotton or other moisture-retaining fabrics puts you at risk for serious weight loss.
Any moisture that remains in your clothing quickly conducts body heat straight to the atmosphere. This means your active clothing (as opposed to the super-warm down jacket that you only wear in camp) must not retain perspiration; instead it must quickly transfer body moisture to your outermost layer, where it can evaporate. The key is to wear layers made of synthetic. quick-drying material that helps evaporate your sweat. That way, your clothes aren't wet enough to transfer a significant amount of heat away from your body.
The advantage to layering, of course, is that when working hard and starting to overheat, you can simply take off an insulating layer (usually a fleece jacket or vest), replace your windproof shell, and you're on your way. When inactive and cooling down, you can replace the insulating layer.
From bottom to top, here are the layers you should include in any cold-weather travel:
Underlayer:
Two pairs liner socks (thin, quick-drying)
Liner gloves
Synthetic underpants
Synthetic long underwear tops and bottoms
Insulating Layer 1:
Thick, insulating socks (one pair per day)
Synthetic pants
Synthetic shirt
Insulating Layer 2:
Heavy gloves or mittens (mittens conserve heat better); plus extra pair in case one is lost
Fleece pants
Fleece vest
Outer Layer:
Down jacket, preferably with waterproof/breathable outer material
Shell pants, waterproof/breathable
Shell jacket with hood, waterproof/breathable
Neck gaiter or scarf
Shell mittens or waterproof/breathable material
Hat (fleece or wool)
Brimmed cap for warm, sunny days
Boots, waterproof and roomy enough for thick socks and toe-wiggling to prevent frostbite
Gaiters
Goggles (for wind and snow)
Sunglasses, sunscreen and lip balm with sunblock
Fleece offers more warmth for the weight than wool, but some still prefer good old wool. Goose-down is the warmest for the weight, and should be included for rest stops and while hanging around camp, so that you can maintain a constant body temperature between exercising and resting. It also compresses easily for stuffing into a pack. But don't break a sweat while wearing it; it dries poorly and won't keep you warm when its wet the way fleece or other synthetics do.
With todays synthetic clothing, socks are the only think you need to chance in the backcountry (dry feet are absolutely essential to preventing frostbite). Bring a pair of insulating socks for each day, ideally with a plastic bag for storing each separately.