As most people know, dressing in loose layers is a great way to trap air around your body. It is this trapped air that will be heated by you while you are enjoying all those fun snow activities. If you dress so warmly that you start to perspire, you could put yourself in danger of getting chilled after the activity stops. So a wicking layer against your skin is very important. There are many synthetics on the market today that will move that moisture away from your skin and onto the next layer of clothing.
Silk is a natural fiber that accomplishes the same wicking process.
Wool is another, although not too comfy against the skin. Wool is, however, a great second and third layer. Great for socks and hats and mittens, not gloves. Wool traps air very well in all those nooks and crannies of a sweater or hat. Mittens are better than gloves because of the sharing of heat by your fingers and palm.