Layer Four - Outer Shell: There are a number of choices you can wear for your outer shell. Key requirements are a material that will allow moisture to escape from your body without allowing moisture from the outside to penetrate into your inner layers of warmth.
If you tend to run cold then you should probably consider a traditional parka. Liners can be made out of PolarTec®, Thinsulate®, synthetic fleece, or even down filled. The outer shell of the parka should ideally be synthetic that is weatherproofed. Gore-Tex® is one of the best materials for damp environments. If your outdoor adventure is going to take you to extremely cold and dry environments and you have a large budget, Ventile is about the best you can get for an outer shell. Originally designed for pilots in World War II, the Egyptian cotton is woven so tight that moisture cannot penetrate the fabric. However if Ventile gets wet say by rain or falling into water, it will act like cotton and lose all of its insulation ability.
If you run hot you can probably get away with a Gore-Tex® shell. Shells today offer a wide variety of features if you aren't concerned about adding a few extra ounces. Back vents, pit zippers to ventilate the armpits, and a variety of openings can allow you to cool off while still staying dry inside.
If it's going to be cold and wet you should also wear protective pants. Gore-Tex® is best for extreme conditions while wool or synthetics can be used in drier environments.
Layer Three - Additional Insulation: Your next layer is to keep your body's core warm. This is critical to prevent hypothermia. The best bet for this layer is polar fleece. Cotton is acceptable in drier climates but if where you are going is cold and damp go for synthetic polyester, Lycra® blend, Synchilla®, or PolarTec®. If you can tolerate the weight, wool is an excellent natural alternative. Polar fleece comes in a number of styles including vests, jackets, and pullovers. Select what you think will work best for you. If you tend to run hot consider getting a vest, if you run cold a pullover might work better, although it doesn't allow you to easily take it off.
If you run cold or will be hiking in a cold wet environment you should consider also wearing another layer to protect your legs. Just like tops a wide variety of materials are available with wool and synthetics providing the best protection.
Layer Two - Bottoms & Tops: The next layer you wear is your shirt and pants. Although denim is the material of choice for many hikers, it isn't the best choice for hiking in the fall and winter. Denim gets extremely heavy when wet and loses all of its ability to insulate. There are a number of materials available to help keep you warm and dry. Synthetic blends (some with cotton), polyester, polyester and Lycra, wool, and cordura nylon all provide excellent protection form the elements while allowing you to make a fashion statement (if you worry about those sort of things). Because your chest will probably be protected by at least one more layer, a long cotton shirt is acceptable. Synthetic fleeces are better, or if you are in a very cold climate a wool shirt may be in order.
If you tend to be warm you may want to consider convertible pants. The legs can zip off transforming them into shorts, while your long underwear continues to provide a layer of protection to your skin.
Layer One - Long Underwear: Your first layer should consist of some long underwear. Although traditional cotton long johns can be purchased just about anywhere, there are a number of better alternatives. Long underwear needs to be able to wick sweat away from your body while not allowing cold air to seep through. Otherwise your own sweat will slowly soak your first insulating layer.
REI offers silk long underwear that is more comfortable and handles moisture better for the rock bottom price of $28 for pants, and $28 for shirts in a variety of colors. Capilene is an outstanding material for long underwear. Extremely lightweight and thin, the pockets created in the weave provide tremendous insulation quality. DriClime weave and Thermion are synthetic materials that also provide superior insulation for less weight than cotton. Some long underwear even has anti-bacteria treatment. This is helpful for those trips where you might be wearing your first layer for more than few days and your odor can become offense even to the woodland residents.
No matter what you decide or what your budget is wearing layers of almost any type of clothing will help keep you warmer than wearing shirt, pants and jacket by itself. By wearing layers you are provided with the flexibility that is needed to deal with the changing weather when out on the trail or while wearing snow shoes during the unpredictable fall and winter seasons. Stay warm!
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