Lot to be said for a single down-insulated piece that you can just throw on. I have a down parka that is the perfect medium-weight jacket for a cold Rainier climb. But it also is great for walking the dogs during one of our occasional snaps of 20-degree weather.
Really, about the nicest combination of weight and warmth is Patagonia's Down Sweater ($200). Weighs 11 ounces, which is just sick, and packs an amazing amount of warmth. I wouldn't sit at a football game in 10-degree weather with it, but for a piece to wear when running errands, catching the bus, and so on, it's fantastic. Waterproof? No. But when it's cold, it's not raining. It does have a durable water-repellent coating to shed sleet or melting flakes.
For something a bit more hardcore, take a look at the Mountain Hardwear Sub Zero SL Hooded Jacket ($280). As the name implies, it will keep you warm. And it uses Mountain Hardwear's Conduit fabric, so it is very nearly waterproof. Designed for mountaineers, but fine for around town.
Maybe the best buy around is MontBell's Alpine Light Town Parka ($185). It's heavier than a down sweater, but at 16 ounces still is absurdly light. It has 800-fill down for great loft, and a water-repellent nylon shell. Again, not waterproof, but it would hold up well on snowy days.