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This question asks why we don't apply the layer principle on trousers. Personally, I disagree with the pretext of the question: I certainly do apply the layer principle on trousers when cycling in cold (-10°C < T < -40°C) weather, and I think skiers do, too. The answers to this question on sleeping bags also show a certain degree of discussion.

Assuming dry clothes, is there any situation where the layer principle does not apply?

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It's not clear what you think the layer principle, is but you don't have to dress in layers. It's the performance of the complete stackup that matters. In cold weather, this could be achieved, for example, by a polypro sweater then wool sweater then wind breaker, or with a single "winter" jacket. Both can be made to keep you warm equally well, and the winter jacket could even have roughly the same kind of layers all in one unit.

When you're just walking around town and going beween the car and a store, the single thick jacket can be fine. When hiking, layering has distinct advantages. It's a lot more important when hiking to tune your clothing more tightly to the weather and your activity than around town. Too much and you get sweaty. Too little and you get cold. Also, the amount of insulation you need will vary significantly depending on whether you are exerting yourself like when hiking up a hill, or just sitting around eating lunch.

Layers allow you to tune what you wear to the conditions for the least amount of weight and volume of stuff. You can adjust just 3 or 4 possible layers to be the equivalent of a wide range of single-purpose garments. That pile of single-purpose garments would much bulkier and heavier than the 3 or 4 layers.

This may sound somewhat more cumbersome, but it's really not. I haven't owned a "winter" jacket for over 30 years. Instead I use a windbreaker and put a wool sweater under it when it's cold. Try that some time, you'll probably be surprised how warm it is. If it gets even colder, I put on a polypro sweater first, then the wool sweater over that, then the wind breaker over that. So far I haven't been in conditions where that wasn't warm enough.

To me at least, the windbreaker-sweater combination feels less bulky and restrictive. Not only do winter jackets cost way more than a windbreaker and a sweater, but they don't feel as nice. And then you still need a light jacket for warmer but still cool weather. No thanks.

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+ 1 : I also like the concept of layering when I am not too sure about the condition. One layer can be easily removed if too warm. –  Amine Dec 12 '12 at 20:18
    
From experience growing up with snowy winters I think it would be hard to match the warmth of a down parka with wool and poly layers, and I don't think it would be nearly as comfortable once you did. Based on your profile you live in a place at least as cold. Therefore I ask: (1) What's your experience with down? (2) Do you find that you need to dress less warmly than others? –  Mr.Wizard Dec 13 '12 at 2:33
    
@Mr.W: I grew up in New England with "winter jackets" in the winter, although none of them were down. As I said, I find the windbreaker over wool sweater more comfortable and certainly more versatile. Of course that is a personal preference. I only wore a down jacket briefly once. While very nice and warm, it also felt "puffy", but the real problem was that I got hot in it after just hiking up a moderate hill. Then I had a all or nothing problem. Layers would have been nicer, as I could have removed just part of the insulation. –  Olin Lathrop Dec 13 '12 at 13:56
    
@Mr.W: Also down is great insulating material, as long as you keep it dry. It is realy bad when wet in multiple ways. It gets very heavy, to the point that it could actually damage the garment, and looses much of its insulating property. A down jacket is therefore a great answer, but to only a rather limited set of conditions. –  Olin Lathrop Dec 13 '12 at 13:59
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