Mid-layer so, something to wear under a shell? Thats what I like to do. It gives me a lot more versatility. I pack a shell, a cold-weather mid-layer and a not-so-cold-weather layer. If its really cold, I can wear them both.
Micro Puff Jacket
My current favorite is the older version of Patagonias Micro Puff Jacket ($180). Its a trim piece that uses synthetic insulation, so it stays warm when its wet. Its slick nylon shell layers beautifully under another piece. And it can be worn on its own. My slightly older version is a pullover with a short zipper, which I like. But the full zip adds a little versatility with very little weight/bulk penalty.
Otherwise, just about any midweight fleece makes a good cold-weather mid-layer. The North Faces Pumori Jacket ($99) is made from Polartec 200, which is warm and not too bulkly, so it layers well.
For a first layer, I like wool, such as Icebreakers Bodyfit 200 Mondo Zip ($70). Its an excellent midweight base layer with a zip turtleneck. Under a fleece or Micro Puff, its super warm and cozy. It works by itself, too, under a shell. I also like Mountain Hardwears Microchill Zip T ($55). Its made from Polartec 100, so compared to the Icebreaker offers about the same warmth and a little better fast-dry ability. I do find wool to have a really wide comfort range, however.
The 2009 Winter Outside Buyers Guide is now online. Go ahead, get everything you wish you had gotten over the holidays.