Dressing for cold weather is easier than ever with all the great high tech fabrics currently available. Choose breathable fabrics that wick moisture from the body and dry quickly.
Start with a thin base layer. In temps from 40 to 60 this may be all you need. Remember, the rule of thumb is to dress for temps about 20 degrees higher than they actually are. You may be slightly cool to begin with, but you will be warm as soon as your body gets moving.
When the temperature is below 40 you will probably need a second layer. This should be a thin outer shell to help keep out wind and cold. (If you live in an area with much winter precipitation be sure this layer is wind and water proof.) Add gloves and a headband. These can be removed as you warm up and replaced when you are chilled.
As the temperature drops add an insulating (thermal) layer. This is an inner layer between the base layer and the outer shell that holds in your body heat. Once again, be sure this is a good quality, breathable, wicking fabric. Exchange your headband for a hat and scarf, or a neck gaiter.
Don't forget your feet. Waterproof hiking boots are widely available. They may need to be a size larger than your usual walking shoes in order to accommodate thicker (or extra layers) of socks. For some added fun try a pair of snow shoes.
Some good fabric choices for winter clothing include Thermax, Polar Fleece, Cool Max, Thinsulate, Gortex, wool, etc. Stay away from cotton as it absorbs and retains moisture.
Additional tips -
If you need additional layers add them, but stick with several thin layers rather than one or two bulky layers.
Take wind chill into consideration when dressing.
Winds = temperature drop
10 mph = 15 degrees
15 mph = 20 degrees
20 mph = 25 degrees
30 mph = 35 degrees
Watch your step. You may have to slow down in some weather conditions.
Wear reflective clothing or add reflective tape to your clothing.
Be sure to wear sunblock and sunglasses.
Don't forget your water.