The main principle of cold-weather dressing is to trap layers of warm air near your body. Air held in place by tiny fibers, is the only effective body insulator. The greater the trapped 'dead air space' the greater the garment insulation properties.
Many thin layers are often better than a single thick one.
Also the whole body should be covered evenly. A goose down parka will not keep you warm in sub-zero conditions if you are wearing jeans. Vigorous activity requires undergarments that wick perspiration away from the skin so it can evaporate without leaving a clammy, cold feeling. Depending on conditions, layers can be built up including thermal leggings and tops, fleeces, goose down or synthetic insulated parka and pants and finally the outermost layer should be windproof to keep cold air out. It should also have adjustable fastenings to close off the waist, sleeves, and the face of a parka hood.