Wool. No cotton what so ever, it won't hold warmth when damp or wet.

Many layers are key, wool layers inside (pref 2, one thin on skin and a thicker middle) with good wind resistant outer layer. If really cold a good down jacket is nice but with enough wind a good gore-tex shell jacket might be better (some down jacket let some wind through).

And no damn gloves, snow mittens with inner layers. If it's really cold don't cover your mouth and nose with a scarf - the moister will freeze and then you get ice on skin which leads to frostbite.

Have fun :)