Depends on where you live.
But I presume you live on the Northern hemisphere and north from Tropic of Cancer. So there are three basic requirements, with the following order:
Not to get cold
Not to get sweatty
Look good
Living in Finland, the temperature regularly drops permanently below zero deg C, and there are some good rules of thumb which to follow:
Protect your neck, crotch and armpits well. Not only having an urinary infection is nasty, but those are the greatest heat sinks on your body. So keep them warm. Note that it is air which insulates and protects your places, not fabric. Wear good underwear and a neckkerchief.
Protect your head. It is also a heat sink, and not protecting your head may subject you to catching cold and getting sick. A hood, bonnet or a fur hat work really well. Wear at least earmuffs!
Block wind. Wind chill will decrease the effective temperature a lot. So it is important your clothing will block the will and prevent heat transfer.
Do layered dressing. Do not attempt to protect yourself from cold with only one layer of clother. Multiple layers of thin clothes keep you warm better than just one layer of clothes.
The fluffier, the better. Fluffiness means air, and air means insulation. This will keep you warm. Remember the fabric should breathe as well, to let your perspiration out.
Wool is your friend. As are other natural fibers. Wool is about as good as it gets, as it is warm in cold, feels cool when it is warm and has a natural fatty contents to resist water. Woollen clothes also are well breathing. Avoid linsey-woolsey (shatnetz) clothes - they can be awfully cold! Artificial fibers do not breathe well - they can be warm, yes, but they are also sweatty!
If you are into sports, consider Thinsulate. I like that stuff, especially for skiing. It blocks the wind and slipstream while on the slope really well.
Use long coats to protect your croth and upper legs. Long coats work better than trousers on protecting your thighs and private parts.
Also read this:- Is it true that IPL has been moved to UAE for this season?
Use leggings instead of stockings or tights if you are a girl. They insulate better than gossamer, and can be fashionable. If you still have to use stockings or tights, wear at least a long skirt or dress!
Use long-trunked boots to protect your feet and legs. The longer, the better.
Protect your extremities (fingers, nose and feet). Use a ***** if needed.
These two Russian ladies will demonstrate that cold weather is not an excuse not to be stylish - even in the winter.