Help me, I'm cold
Thermal underwear is helpful and some wool socks. I regularly have thermals on throughout the day in the winter since my house is old and drafty, I take them off for bed though because I have a warm comforter.
This + polyester and wool for your sweaters - cotton and acrylic never seem to hold the heat as well.
Cotton is an awful fiber. It's bad at everything excecpt being cheap and being soft.
I live in Finland
-Forget fashion if you have a limited budget. Don't buy coats from the place you buy your clothes. Go to outdoors stores. The prices will probably shock you for the good stuff but usually it's worth it if you can afford it. A Patagonia hoodie will be $200 but is a good buy if you can afford it or find one used. The benefit is being warm without adding too much bulk as you layer, or losing breathability (sweat makes you cold)
-Gloves even if it is only chilly. Your core temp can be fine but if your fingers are cold, it'll be miserable
-In very cold conditions, wear mittens on top of a liner glove
-Base layer, preferably wool if you can swing it
-Thick sweater or other mid-layer
-Warm shoes. The ground is an infinite heat sink. It will sap a lot of heat
-A scarf is at least as important as a coat. If you are cash limited and have to choose between a warmer coat and a scarf, choose the scarf
-Hat of any kind. You lose a ton of heat out of your head.
-Proper coat that goes past your waist, not a jacket
Avoid acrylic, cotton, or low quality polyester.
Layers are your friend. Thermal underwear under trousers, and maybe sleet or snow pants on top if super cold.
Linen underwear if you're fancy.
Key point is to avoid getting too hot as well, since sweat will make you cool down too much.
For warm winter you just need basic insulation and a windproof coat. A shirt, a sweater, a windproof coat for your core. A skullcap for a hat or something thicker of you'd like. Wear pants, socks, and proper shoes that are a bit water resistant.
Then check to see whether anything is still getting cold. Hands cold even when in your pockets? Get some liner gloves. Legs making you cold? Get some thermal underwear and some windproof pants. Feet getting cold? Get some thick socks, probably wool ones. Core getting cold? You probably need a dedicated fleece or (synthetic) down layer. Head cold? Get a thicker hat. Neck cold? You need a jacket that zips up high and has a hood.
Your core warmth is most important, it'll make the difference between a dangerous situation vs. an uncomfortable one. Consider getting a fleece or (synthetic) down layer as your first upgrade after a windproof coat. Thrift shops will usually have fleece for less than $10.
Layer up man, fashion's easy when it's cold. If you're struggling to get warm, as someone else said, thermal underwear is huge. Don't wear wool though because animal abuse is wrong. But yeah, layers on layers on layers. Still cold? Add more layers.
Just keep putting on more stuff until you aren't cold anymore.
If you want to wear clothes that aren't typically warm and aren't worn during the winter, I suggest wearing a thermal base layer (top and bottom). That way you still wear something like flared pants and a flannel without freezing your ass off
Try wool socks as well. I found that with thicker socks, the shoe odor practically disappears, but I have merino wool socks that are thin and there's no moisture or smell.
Wool is the answer. A good wool overcoat will keep you warmer than layering cotton and polyester clothes, while lasting many more seasons than less expensive puffy filled jackets. Wool socks are essential for keeping your feet warm and dry. And a couple of real wool sweaters will do wonders for keeping you warm when an overcoat is too much. You can layer leggings or tights underneath trousers if your legs are getting cold. If you wear boots, blouse your trousers into them if they're long enough, this also helps keep out the cold. Also worth getting, gloves and a good hat. Hooded sweaters do in a pinch, but nothing beats a proper hat.
Having just darned some wool socks, the ease of repair of knits is another plus.
It's a tremendous benefit. You tear a plastic jacket, it's just trash, but with natural fibers you can just weave new material in with just a needle and some yarn. My brilliant partner felted shut a hole in my favorite hat last winter, and I was completely astonished.
Ok hijacking this question to ask what do I wear in winter to be warm if I have really bad tactile sensitivities. For instance most thermal underwear made of that stretchy polyester that hugs you material gets absurdly uncomfortable within minutes for me. Cotton long johns are preferable but still not amazing. What other options are there?