My configuration in cold weather is:
- Head: Wool hat when dry, additionally hood from rain jacket when wet.
- Upper body: Merino wool base layer (not too thick for me because I tend to be warm), maybe another layer of merino wool if it is very cold, down jacket (mostly worn during breaks, otherwise too warm for me), and a proper water and windproof hard shell worn on top of the down layer. The waterproof jacket has a membrane which is breathable but will also be waterproof with the pressure caused by a backpack. Your local outdoor shop can help.
- Lower body: Normal outdoor pair of trousers, usually some synthetic fabric. Merino wool underpants. Also here a water and windproof pair of hard shell trousers (with a membrane) on top help me in nastier weather.
- Feet: One pair of socks and normal leather hiking boots, well impregnated with wax to keep the feet dry.
- Hands: I do have a pair of water and windproof gloves, but so far I have never used them, my hands usually are warm. My wife however does not want to go without them.
This is good for me, but as mentioned, I tend to be warm. You can of course add extra layers if necessary, and I would strictly adhere to the concept of wearing several layers rather than one or two thick layers. A flexible clothing concept will keep you comfotable in most conditions. And yes, if you have to keep changing clothes to adapt to different situations, it might feel like a hassle, but it is nothing compared to not adapting to the situation. Both being too warm (sweating and wet) and being too cold are an absolute nuisance.
It is most important that you have an idea of your resistance to cold, and this is a matter of experience. You will learn fast what you need when you are outdoors, but I would recommend to rather take some extra warm clothes than to be cold if you can take the extra weight.
As you probably see from the list, I am very fond of merino wool for the first one or two layers in the skin. I like that is does not start to get smelly too soon and that it keeps me warm, also because it transports moisture away from the skin. However, it definitely is expensive and not always from good origin. Synthetic materials definitely are an alternative (my wife likes them, for instance), but I lack of experience there.
As mentioned by others you should be careful with down when wet. If you are not sure that you can guarantee that the down stays dry you can also use synthetics. However, they tend to be heavier than down with comparable insulation.
One general remark about wetness: If you cannot guarantee that you and your clothes under the outer, waterproof shell remain mostly dry, cold weather is not fun. Therefore, I think it is worth to invest in 'proper' gear which both gives you moisture transport through all layers from the inside to the outside and no moisture transport vice versa.