Head and Neck
On cold days, you'll lose a reported 10% of your heat from your head, so it's important to keep it covered. You also want to protect your skin from the cold and wind, and also prevent frostbite and chapping. Here's what you'll need for your head and neck:
Thermal hat: A fleece or wool hat is perfect for keeping your head warm during winter runs. You can easily tuck it into your pants if you feel like you're starting to overheat.
Neck Gaiter or Bandana: Often worn by skiers, a neck gaiter can be extremely valuable on a frigid, windy day to protect your neck and face. You can pull it up over your mouth to warm the air you're breathing in, which is especially helpful when you first start your run. Some runners wear a simple bandana over their mouth for the same purpose.
Balaclava: Also known as a ski mask, a balaclava is a type of headgear that covers your whole head, exposing only your face or part of it, and sometimes only your eyes. They're usually made of fleece or wool and are only necessary if the temperature or wind chill is below 10 degrees F.
Chapstick/Vaseline: Protect your lips from chapping with some Chapstick or Vaseline. You can also use the Vaseline on your nose and cheeks (or anywhere else on your face) to prevent windburn and chapping.
The key to winter running dressing, especially with your upper body, is layering. Not only do layers trap body heat, they allow sweat to move through the layers of clothing. The moisture is wicked away from your first layer to your outer layers, and then evaporates. Here's a guide to how you should layer on your upper body:
Wicking Base Layer: The layer closest to your body should be made from a synthetic wicking material, such as DryFit, Thinsulate, Thermax, CoolMax, polypropolene, or silk. This will wick the sweat away from your body, keeping you dry and warm. It's very important to make sure you don't wear cotton for this layer because once it gets wet, you'll stay wet. When it's above 40 degrees F, you can usually wear just a long-sleeve base layer.
Insulating Layer: Your second or middle layer, which is needed for very cold weather (below 10 degrees F), should be an insulating material, such as fleece. This layer must continue wicking moisture away from the skin. It should have the perfect balance of trapping some air to keep your warm, yet release enough vapor or heat to avoid overheating. Some fabrics suggested for your second layer: Akwatek, Dryline, Polartec, polyester fleece, Microfleece, Thermafleece and Thermax.
Wind- and Water-proof Outer Layer: This layer should protect you against wind and moisture (rain, sleet, snow), but at the same time allow both heat and moisture to escape to prevent both overheating and chilling. It's a good idea to wear a jacket with a zipper for this layer, so that you can regulate your temperature by zipping it up and down. Suggested outer layers: ClimaFit, Gore-Tex, Microsuplex, nylon, Supplex, and Windstopper. If it's between 10 and 40 degrees F, you can usually get away with a wicking base layer and an outer layer.
More: Women's Cold Weather Pants, Tops, and Jackets
Men's Cold Weather Pants, Tops, and Jackets
Gloves/Mittens: You can lose as much as 30% of your body heat through your extremities, so it's important to cover those hands. On cold days, wear gloves that wick away moisture. When it's extremely cold, mittens are a better choice because your fingers will share their body heat.
Tights/Running Pants: Your legs generate a lot of heat so you don't need as many layers on your lower body. You can usually wear just a pair of tights or running pants made of synthetic material such as Thermion, Thinsulate, Thermax, Coolmax, polypropolene, and/or silk. If it's below 10 degrees F (temperature or wind chill), you may want to consider two layers on your lower body: a wicking layer of tights, and a wind-proof layer such as track pants.
Shoes: Your feet also stay pretty warm, as long as you keep them moving and dry. Try to avoid puddles, slush, and snow. Look for a running shoe with as little mesh as possible, since that's where the water will seep through to your feet. Or, if you can't avoid running in the snow, you may want to think about buying trail running shoes, which are somewhat water-proof and will give you a little more traction in the snow. You may also want to try YakTrax Ice Grippers or Ice Spikes, which slip right over your running shoes for added traction.
Socks: Never wear cotton socks (in cold or warm weather) when running because they won't wick away the moisture, leaving your feet wet and prone to blisters. Instead, be sure to wear a good pair of wicking socks made of fabrics such as acrylic, CoolMax, or wool (in the winter).
More: Winter Running Socks
Also see: 8 Steps to Enjoying Cold Weather Running
Running Gear for Winter Running
What Not To Wear Running