Generally speaking, mittens are much warmer than gloves. The reason is simple: inside a mitten, your fingers can pool their warmth, unlike the way they are left to their own devices in a glove. Of course, the downside is that mittens are much less dexterous than gloves. I prefer gloves myself, even if my hands do get a little chillier.
So, if you want to solve the cold-hands problem once and for all, get both: more precisely, get Outdoor Research's Mutant Modular Mitts and Liner ($140; www.rei.com). They're actually a hybrid mitten/glove, with a separate index finger and opposable thumb. But otherwise, they boast the overall warmth of a mitten. The gloves are made of super-tough Cordura nylon, and house a Gore-Tex insert and a warm pile liner. True, the price is $140, but with these you can just kiss cold hands adios
. Less pricey are REI's Vertigo Elements, lacking the index-finger mobility but featuring a warm fleece liner and waterproof-breathable shell (not Gore-Tex). These are just $45, and they're very warm.
Gloves aren't out of the question, though. For starters, I've always found that a silk liner ($15; www.rei.com) adds a lot of warmth under a glove for next to no loss of dexterity. Over that, I like Marmot's Randonnee Glove ($100; www.marmot.com), which have Gore-Tex for waterproofness and Primaloft for insulation. I've used these for four or five years now, and have found them to be durable, warm, and remarkably agile. With silk liners underneath, these easily perform down to the single digits.