Chances are, gearing up for a cold hike you're going to over prepare and take way too much. Granted, it is easier to shed clothes than it is to put more clothes on that you don't have, but extra clothes are extra weight. Dead weight at that. It's important to acheive your own personal level of comfort with EFFICIENCY. I'm going to outline a few tips and suggestions for making a cold weather hike a little more enjoyable.
1) Stay Dry
This is probably the most important of all. Staying dry = staying warm. If you encounter a river crossing, it's important that you keep your clothes as dry as possible. Strip down if you have to (or don't schedule a winter hike with over a dozen chest deep river crossings, that's kind of asking for it).
You also want to avoid sweating. Sweating is a monster in cold hikes. It's bad because it chills you from your base layer outward. If you soak your baselayer, you will chill a lot more rapidly. My tip here is to start your hike slightly chilled. Once you get going you will warm up. Also, it helps for covering more miles. When you take breaks, your body temperature will naturally cool down so warming up is good motivation to keep moving.
The take home here is Cotton Kills. When cotton gets wet it does two things, dries slowly (especially in humid climates) and loses all it's insulation value. It's important to wear synthetic clothes with no cotton. Check the tag of the article of clothing you plan to purchase. Make sure there is no cotton and it is all polyester/synthetics
3) Warm Extremities
The first thing to note are your furthest extremities - head, hands and feet. Keep these areas warm so your body can focus on your torso and legs. Most of everyones body heat is going to escape through their heads. Be sure to have a good wool or fleece cap you can wear while you hike. ALSO, if you start to over heat, take off your cap. It's a great way for your body to release heat. You'll notice your entire body will cool down when you remove the cap.
As for feet, a good pair of wool socks will suffice. If you are extremely cold natured, add another pair. Be sure not to wear socks so thick that it makes your shoes extremely tight. You don't want to impede blood flow - that's what you need to stay warm.
For me, hands are the first things to me to get chilly. The imporant thing here is to find a good set of synthetic gloves that are windproof. This will help keep them warm. Something as simple as isotoners work well for this. It will be worth it in the long run to invest in a good pair, the cheap cotton Wal-Mart gloves will NOT work so don't waste the money.
4) Zonal Layering
This is where knowing your own body comes into play, but the things I will say here will be pretty common for everyone. Assuming you hike with trekking poles, your arms will be moving as well as your legs. This means your body will constantly supplying it with blood and they well naturally warm themselves up through movement/activity. If I'm going on a fairly chilly hike (around 30 deg F) I would probably just wear some synthetic tights and long sleeve synthetic top. On top of that, I would probably just have on some shorts and a vest, keeping my core warm, as it is supplying the blood. I'm naturally a warm bodied person, so as long as I'm staying active, this would be fine for me. As it got colder I would transition to a thicker fleece top (on top of the synthetic top) and pants over the synthetic tights. I typically don't wear any more than this on my legs because they are doing to majority of the work.
Note, clothing that is windproof helps out tremendously. I've noticed that it can keep you very warm while you are active. Just as windproof clothing prevents cold wind and air from hitting your body, it prevents your body heat from escaping. Typically, clothing that is windproof is lighter and less bulky. This makes moving around a lot easier since you will be able to cut down on bulky layers. If I were to get really cold or it became extremely windy, I throw on my rain jacket. It's non-breathable so it does a good job at helping trap body heat while also protecting against cold winds.
Aside from gloves (which I mentioned earlier) the next two best things are scarves and bandanas. Bandanas are a light weight approach, but scarves made out of wool, while heavier, are a warmer solution. You can use these to wrap around your neck and face in windy conditions.