Layering is key to cold weather running. Start off cool, so you don't get too hot on the run. Experiment with the clothing layers, see how much you need for your effort and outdoor temperatures. I make notes which include the wind chill factor. I stayed close to home when I began jogging in below freezing temperatures until I figured out what, and how much clothing to wear when I jogged.
I have run in temperatures as low as 20 degrees F. and as high as 80 degrees F.
My base layer is silk or polypropelene. It could be wool if necessary. I dress as if I were going downhill or cross country skiing, even with Smart Wool Socks. I usually wear a turtleneck but others prefer a zip top to allow air inside the shirt if needed. Depending on conditions, I may wear polyester fleece, lightweight wool layer, or cotton on top of the shirt. A down vest is used on really cold days.
I wear cotton or smart wool socks and only one layer with my regular tennis/running shoes.
I wear two hats and gloves as conditions require to keep warm.
Irregardless of the temperature, my outside layer is always the same, a lightweight, fluorsecent, bright colored, wind and rain resistant (not waterproof) jacket so I am protected from weather and can easily be seen from a distance by traffic in daylight or dark.
There are several threads on this topic and great articles online in SP and running magazines. Lots of resources there to help you out.
Get out there and have fun with it! Be safe and visible to traffic and don't slip on the icy stuff!
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