Wearing layers of clothing is the best way to stay warm when you go out to play in the cold. Avoid looking (and moving) like a snowman by intelligently layering. The base layer is in contact with the skin. A tight, absorbent material is best for keeping you warm and dry.
Polypropylene, silk, polyester, Thermax, Thinsulate and wool are good choices. To stay warm, the next layer should be loosely woven, like a loose-knit wool sweater. A loose weave allows air to be trapped as much as possible, and the wool's natural oils make the wool insulate you even when it gets wet.
