You're right, Ian—lots of makers turn out good, warm clothing that works well for cold-weather bicycling. So it's really a matter of trying several combinations to see what works. Plus there's this: Cycling is really hard to dress for in cold weather, particularly if you're riding hilly terrain. Because you're working hard going uphill and then easing off as you descend at high speed, the wind chill is a factor with which you'll have to contend.
So the key component to any cold-weather get up is a wicking layer that'll keep the sweat off your skin, then a wind shell that can offer ventilation as needed. Pearl Izumi does indeed make very good stuff, but there are plenty of other options.
For a day around freezing, here's what I'll typically wear: Midweight tights such as Performance's Polypropylene Tights ($45; www.performancebike.com) or Pearl Izumi's Therma Fleece Cycling Tights ($90; www.pearlizumi.com).
A long-sleeve wool undershirt, such as Icebreaker's Original Zip ($118; www.icebreakernz.com), a midweight shirt that has incredible thermal properties. Expensive, but worth it. I also like most anything that uses Polartec Power Dry, such as REI's Power Dry Zip T ($39; www.rei.com). I may also wear a short-sleeve wool or Power Dry shirt, with a long-sleeve bike jersey worn on top, something like Pearl Izumi's Kodiak Light Jersey ($80).
Over that, a shell of some sort. Good ones include Gore's Balance Jacket ($99; www.gorebikewear.com), made with Windstopper, Garneau's Néo-Venture ($80; www.louisgarneau.com), or Sugoi's Excel Stretch Viper ($115; currently on sale at www.performancebike.com). All offer good breathability and decent water-repellency. If it's real wet, then a waterproof-breathable such as Performance's very well-priced Gore-Tex Jacket ($130; also now on sale).
Naturally, you'll also need good gloves, a pair like Cannondale's Wind Shredders ($40; www.cannondale.com); shoe covers, such as Descente Element shoe covers ($40; www.performancebike.com); and perhaps a hat to wear under your helmet, such as a Garneau Thermo Fusion Hat ($20).
Read "The Essential Road Cyclist" from Outside's 2004 Buyer's Guide for more top-of-the-line biking threads.