Milo pretty much nailed it. Assuming you're cold, the base layer is very important. It needs to be either poly or wool...no cotton. They are breathable and wick moisture away from your skin. I like Patagonia's wool and capilene bases and I move to more wool every year. The bottom layer should be very thin. If it's cold, then add a thicker next layer and so on. Then you can strip off layers as the temperature rises.
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