17 winters in southwestern Colorado, and my two favorite weapons were long-john bottoms and the strongest ginger tea possible. For some reason, the bottoms have an amplifying factor--I could have a ton of layers on top, but if no long-john bottoms on under my jeans, I'd still be cold. In that dry cold, the heavier thermal cotton bottoms from WalMart worked fine, but these days I'd go for the polyester/spandex kind, with some kind of de-stink treatment.
If you really want to stay warm and you are out all day, nothing beats lined Carhart coveralls.
Now for the ginger tea: grate up a big piece (thumb sized or a bit smaller) of fresh juicy ginger root. Put in a cup and pour boiling water on top. Steep for five or 10 minutes or so. Strain out the ginger. Drink. Should feel like strong whiskey going down. Cough. Gasp. Ahhhh.
For some reason this really helped with the cold. Some of you are probably thinking, "Why mess with ginger when you could go straight to strong whiskey?"
I don't drink so you'll have to sort that one out on your own.