Mittens are indeed warmer than gloves. But there are lots of good gloves out there these days. And the advantages of gloves are tremendous—you can manipulate things with gloves that you can't with mittens.
Black Diamond's Legend ($115) is a good example of a modern ski glove. It uses Gore-Tex XCR to for a waterproof/breathable membrane, has PrimaLoft insulation for warmth, and has knuckle guards to protect your hands. It's fairly short and is designed for under-the-cuff use.
The longer Guide ($160) adds a removable wool liner for even more warmth. It also uses Gore-Tex XCR and PrimaLoft. Goat leather palms add toughness and gripability. Serious gloves. If cold hands are a real problem for you, then choose the Guide over the Legend.
I also really like Marmot's Randonee Glove ($100). It has a gauntlet design like the Guide, PrimaLoft insulation, leather palms, and a Gore-Tex liner. I wear Randonees and have long been impressed by their great dexterity.
Have a great winter!
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