I grew up on the Canadian Prairies (Ahhh, Winnipeg, a great place to be from) where it can hit -40 before the wind chill! (did I mention it's a great place to be from?)

In addition to the great information from @Philreedshikes , I'd also recommend layering when it comes to your hands and feet, too. Catch a chill at your extremities and you'll feel it through your entire body, regardless of how warm your jacket is. A pair of glove liners (non-cotton, of course) can be a game changer (as can sock liners).