Wear clothing in layers so that warm air can be trapped between the layers. It is helpful if the outer layers have vents and zippers to allow excess heat to escape as you become warm. On windy days the outer layer should be of wind resistant material. Avoid cotton as it tends to hold the sweat. Hat and gloves are crucial as these regions of the body have a substantial role in the regulation of body temperature.
Mittens tend to be warmer than gloves.
On very cold days mittens worn over gloves are very effective. Stocking caps or ski masks are desirable. On very windy days goggles or eye glasses can provide additional protection. The outer layer should be light colored and have reflective material if you are running during darker hours. Reflective material works only if there is a light source.