I usually go out running with many, many layers on. Even though I may sweat more, I feel more comfortable and wrapped up.
Are there any dangers, other than hypothermia, of wearing too many layers?
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In cold weather, I'm the guy that always has way more layers on than everyone else. I don't let myself sweat though, I just suck at retaining body heat. Sweating is the primary reason for not over-layering, but aside from hypothermia the only real danger presented from excessive sweating is dehydration. Sweating uses up fluids, and if you're not replenishing them as fast as you're losing them, then you can end up in real trouble real fast.
Other than that, there are a couple less serious drawbacks:
Weight - clothes account for a significant portion of your gear, when winter camping especially; the more you pack - the heavier your bag is. If you get wet, extra clothes means you can soak up more water, which can really weigh you down.
Mobility - Not always a big issue, but if you're climbing it could cause an accident. If you're wearing so many layers that you lose some flexibility or range of motion, it could seriously hinder you if you're doing any technical climbing.
I could come up with other reasons not to wear so many clothes that it makes you sweat; like body odour, excessive laundry, pit-stains, swass... There's also the hassle of trying to go to the bathroom when you're seven layers thick (especially if one of the layers is a pair of bib pants).
If you're out running for exercise, there's nothing wrong with sweating, as long as you have a warm place to rehydrate after your run, but if you sweat while you're exposed to the great outdoors, then you're asking for trouble.
I know that's all bit of a leap, but if you had a problem our running in remote country and had to wait for rescue, having all your layers soaked with sweat is giong to be pretty uncomfortable.