Working and playing outside in the cold has its challenges for sure. Most people think that if they bundle up with a thick coat they will be fine. However, once they become active outside they sweat (yes, you can sweat in freezing weather) through that single layer and get sick, or worse, become hypothermic from heat loss.
About the coldest weather I have worked outside in was 1 degree with a windchill of -5 was working in the capacity of a law enforcement. I was always out of my vehicle on one call or another. I could never stay in one spot near a dedicated heat source. As a contractor for the Department of State in Afghanistan I worked out in the muddiest cold conditions never being able to stay dry or perfectly warm. I have slept outside with the chill in the teens and woke up looked at where ice had formed on the roof of my tent. Shooting or using any tools with cold weather gloves on presents its own challenges and hazards.
Let’s start with the first layer of keeping warm. Your bare naked body. The skin is the largest organ of your body and needs to be constantly taken care of. If you are dehydrated or have really dry skin you are not going to be very comfortable when the wind whips by you. Always make sure to cover as much skin as possible when the wind chill starts getting near freezing. Wind burns are not comfortable and exposed skin loses heat the fastest. Be mindful that your ears and nose will get the coldest the fastest and can sustaining damage much more quickly.
The (base) layer against your skin needs to be able to pull moisture away from your body as you perspire (spreading it over a larger surface area) and help minimize the amount of heat lost aiding in the regulation of your body temperature. I DO NOT recommend anything cotton due to the fact that as soon as it gets wet it retains ZERO heat. Some of the better recommendations are Merino Wool (for its ability to wick moisture away and still not smell bad a few days in,) Synthetic blends such as polyesters (Under Armour, Polartec, and some generic blends,) and for something where you are less active, silk. Most thermal underwear comes in light, middle, and expedition weights.
The next layer is insulation. Natural fibers such as goose down and wool are excellent insulators. However, Goose down is super lightweight and is easily compressible. However, it has to remain dry to keep it’s insulating properties. Merino Wool however works well dry and wet. For an excellent weight to warmth ratio Fleece is a good option. The come in several weights depending on the conditions you need to work in. Downside is that they are wind permeable. Polyester and synthetics like Thinsulate work well.
The last layer you could have is the outer shell. These keep the inner layers dry and warm by keeping the snow, rain, and wind outside where it belongs. An example would be a simple rain coat which is good for light activity like fishing. For more active folks Goretex is a good option. I have two outer shells myself. One in woodland cammo and the other in dark blue. They do very well to keep out the weather and their fleece liners usually burn me out in temperatures above 40 degrees. Soft shells work really well if you are going to be very active. They are flexible, allow moisture to escape rapidly, and wash pretty easily. Most come in cool colors and are pretty forgiving with temperature variances.
All of these layers can be added or subtracted based upon the conditions you experience during the day and your activity level. Always evaluate your situation in a fluid, dynamic environment.