So in cold weather - a lot of people jump to cover up their toes and fingers as they get cold first. But why are they getting cold? Because your bloodflow is being cut to keep your core warm. Most of your heat is lost through your chest and head. When you're really using your leg muscles, a significant amount of heat will be lost there.
So a wind proof jacket plus warm stuff underneath. Something to keep your legs warm (leg warmers are good)... Then there's the head... This is a tough one.
If you're wearing a helmet like you should, cover up any holes. Then there's the face.... If it's really unbearable, wear a mask. I'm not kidding either. Find a mask that doesn't interfere with your vision or breathing. It's just there to be used as a wind breaker.
Oh... and doing some warm up exercise before plunging into super cold weather helps...
Of course... I currently ride in Central Florida
So I don't have to deal with the coldness like that. I just did a significant amount of research for HPV stuff