The key to cold weather clothing is viewing it as a system. The base layer of the system wicks moisture from the body and provides a small amount of insulation. The middle layer(s) of the system provide warmth and wind protection. The outer layer provides protection from the elements.
That being said, a proven system for the temperature range you're considering would generally consist of a lightweight wool base layer (long underwear or similar top and bottom), a windproof polar fleece or down jacket, and a waterproof shell. A polar fleece or down vest makes a good alternate for the intermediate layer. The face and hands should also be covered. Gloves should follow a two layer system, with a wind resistant inner glove and a waterproof outer mitten or glove (mittens are warmer due to the reduced surface area). Fleece and wool are both good choices for the inner gloves, with windproof fleece being preferable. For footwear, use wool socks and insulated boots that are rated for cold weather. Additionally, goggles are strongly recommended below -20F, and at anything below 0F when strong winds are present.
Wind protection is an extremely important factor in clothing selection for cold temperatures. Hats, gloves, and an intermediate clothing layer should all be highly wind resistant. The impact of wind chill is greatly eliminated, making the temperature your body is adjusting to more consistent.
Additionally, an extremely warm outer layer is rarely a good idea, as it greatly limits the temperature range that the clothing system will properly function in. Your body will attempt to maintain approximately 98.6F. Each insulating layer will lower the outdoor temperature at which your body can remain comfortable. If you have an extremely warm outer layer, say one rated for 0F, then you have around 90F in which you can't be comfortable. If multiple intermediate layers are used to achieve the insulation, the temperature ranges can be broken up into 20-30F ranges, which can then be mixed and matched as needed, with the outer layer providing the protection from the elements.