Under Armour Cold Gear, or some comparable product, can not be beat. It keeps you warm, lets you sweat w/o getting all wet, and ads
zero extra bulk. On super cold days, I wear UA Cold Gear, fleece, and outter shell (pants and jacket). As someone else said, I have not been cold once while riding, and that has included windchills well below -20. On not as cold days, I just wear the Cold Gear and outter shells.
Also, if you wear a face mask, the UA Cold Gear hood is really amazing. It's not as bulky as the Serius masks, and is way easier to stuff in your pocket if you want to take it off. But, on super-super cold days it can be a little thin. When i've hit temps like that, I wear a UA hood under a Serius mask, and it feels like I am chillin in Aruba.
