Daytime

Overall

Layers, layers, layers!  That includes head, body, hands and feet.  Start with polypropylene, then fleece or wool combination.  The outermost layer should be windproof and waterproof.

Head

Most of your body heat is lost through the head, so be sure to wear a Fleece or wool hat.  For really cold and windy weather, wear a balaclava and a wool hat and your hood.  For 20ºF or less, keep the wind off your face and breathe through the balaclava.

Body

Start with long underpants and long undershirt, then fleece pants and a fleece shirt.  When it's really cold, add a fleece vest and snow pants. Jackets or parkas should have hoods.  The outer shell which should be waterproof and windproof.

Hands

Wear glove liners, gloves, and if it's very cold, outer mitts. A lightweight waterproof glove comes in handy for setting up tents and cooking.

Feet

Socks - wear polypropylene under wool.  The colder it is the more socks you wear.  First a thin, polypropylene sock, then a medium weight wool sock, then a big, thick wool sock, then the boot liners, and lastly waterproof boots. 
If your feet sweat a lot, put a plastic shopping bag between your medium weight sock and the big woolly sock.  This will keep your big wooly sock, boot liners, and boots dry and your feet warm.  Dr. Scholl's foot-liners can add extra padding and warmth.

Eyes

In extreme cold or during snowstorms, wear ski goggles or wrap-around sunglasses

Before Sleeping

Change ALL clothes before going to bed.  Everything must be clean and dry.  Anything you've worn during the day will have slight amounts of perspiration and if it stays near your skin you'll get cold.

 Sleeping Clothing

Overall

Layers, layers, layers!  (The same as during the day.)  That includes head, body, hands and feet.  Start with polypropylene, then fleece or wool combination. 

Head

Wool hat or balaclava

Body

Polypropylene, then fleece or wool.  Hot water in Nalgene bottle – keep it near your stomach. 

Hands

Gloves- polypropylene liners or fleece gloves or both

Feet

Chemical hand warmers can be put in the bottom of your sleeping bag.

B.E.F.A.

For real cold, your bed should be a sleeping Bag, on top of an Emergency Foil Blanket, on top of a Foam pad, on top of an Air mattress.  To stay warm, you need your "BEFA".  The foil blanket reflects heat back toward you.  The foam pad insulates and makes sleeping comfortable, the air mattress adds comfort but not warmth.  Foam pads should be closed cell foam because they don't absorb water.  Put all your extra clothes under your foam pad or over your sleeping bag for additional insulation.  Make sure you don't roll off your foam pad!

Sleeping bag

The bag should be rated for the lowest expected temperature- a 0º bag is a great idea.  If it's not, use a fleece or silk blanket as an extra liner inside your sleeping bag.  A mummy style bag is warmer than a rectangular since there is less space for your body to heat.  A down bag may keep you as warm as a fiber bag but only if it is dry. A wet down bag is ineffective and can do more harm than good. Use an appropriately temperature rated fiber bag, or take extra steps to make sure your down bag stays dry.
Make sure zippers are fully closed.  Pull the drawstring on the hood so there's just a small hole in front of your mouth.  To keep feet extra warm zip up your jacket and slide it over the bottom of your bag.  This also gives you a warm jacket in the morning. 

Tent or Lean-to

Ventilate your tent so your breath doesn't condensate but don't let wind howl through it.  If sleeping in a lean-to, rig your poncho or ground cloth to keep wind and drafts off you.