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There's a lot of good advice here already, especially that wool is the gold standard - nothing synthetic cuts it. I want to add that the absolute key is about layering, and not over-stuffing.
What keeps you warm is primarily the air trapped between your layers, which means that three thin layers can be a lot better than one thick layer. This also means that you will be freezing if your layers are too tight. If you have two thin layers, and put on a sweater, and that sweater feels tight, that likely means you're pushing out the air trapped in your inner layers, and they won't be as effective. The same applies when putting on a jacket.
So: You want a thin base layer (think light, thin wool shirt + long johns), then an optional medium layer or two (slightly thicker wool shirt, I have some in the range of 200 grams), and finally a thicker sweater for when you're not moving. These should increase in size so that they can fit the thinner layers underneath, and you want your jacket big enough to fit all the underlying layers.
Finally: When you're moving around, you will get stupidly warm and sweaty unless you take off clothes. It's better to take off some stuff and be a bit cold for the first 10 minutes of moving than to get sweaty and be cold for the rest of the day. If (when) you do get cold, running in a circle for 10 min will fix it (run at a calm, steady pace, if you're really cold it might take longer to get warm than you think, but you will get warm if you move).
In short: Being in a cold climate is just as much about how you use your equipment, and how you activate yourself to stay warm, as it is about what equipment you have.