Wool ,wool and more wool! Natural materials are best but a nice shell is awesome.
Layering is very important it is already [censored] cold here in Saskatchewan.
A silk preferaby or poly underlayer then wool ,then goretex and a shell on top are the most popular but down parkas are also popular.

Whether you use layers or a good parka should depend on what you are doing. If you are spending a lot of time outdoors layers are best but if you live somewhere where it is -50 for months on end and spend your time going from a very warm indoors to very cold outdoors a nice parka you can easily remove and put on is much better. Nothing sucks more than going from freezing to boiling.

I have a Loki hoody on order that has mitts and a face mask built in so i don't have to carry touque and gloves everywhere.

The touque is a must have for cold weather and it should be wool ,not acrylic or other crap synthetics.