First, I run in New York city. In January, it gets close to 0 degrees F. Background on me: I'm 30 years old, I run in the city. My training pace is about 7:30 these days. So I don't get all that cold, and probably don't need to dress quite as heavily as other runners. I pay careful attention to protect what needs to be protected (the goods, my hands, and if it's cold, my ears) and otherwise dress in minimal layers. I've observed that most men in my age and pace bracket dress similarly to me. Faster men often dress lighter than I do.

I prefer quality over quantity. I never buy duplicates of a given item (I hand wash, and these items all line-dry overnight because of the high tech fabric), but I don't mind paying for a good piece of clothing. My SportHill explorer top already has hundreds of miles on it, and I anticipate thousands more, the same is true of my tights. So I don't regret paying retail for those items.

Weight: I love the look and feel of heavy-duty mountaneering/outdoor brands (Mountain Hardware, ArcTeryx, Marmot, etc) but this stuff is too heavy to be practical for me. Given my training pace, and training conditions (always above 0F), the most I have ever needed is the SportHill top.
Layering: basically, I don't do it. I rarely wear more than one layer anywhere (excluding boxer-briefs, or those instances that I wear two pairs of gloves).
Gloves: This is first! why ? Because I always see runners wearing warm sweat pants and no gloves. Dressing for running is not the same as dressing for a walk in the park, your legs generate lots of heat but your hands don't. And you can't just shove your hands in your pockets for your run. So you need to protect them. For me, I wear gloves before I wear shorts. If it's cold, I'll wear two layers of gloves or one thick/warm pair. I'd recommend mittens (better protection), though I don't own any.
Tops/jackets: As above, I usually go with one layer. If it's windy, I'll wear the SportHill Explorer top, nothing under it and nothing over it. I like this garment, because the 3SP at the front offers protection against the wind, while the soft material at the back provides some ventilation, so you don't need an extra layer just for the wind.
If it's calm (morning runs, for example), I might use the Insport Fleece top. Fleece tops offer good insulation, but no wind protection.
If it's extremely cold and windy, I may put a lightweight windshell over the top of the fleece top (I use the Pear Izumi Escape jacket, though there are many similar jackets out there). I prefer the fleece top as a bottom layer because it's more flexible than the SportHill top.
If it's cold and wet, I'll wear the windshell over a long sleeve tee like the Sugoi one I reviewed (if it's raining, it's above freezing, so I don't need much under the windshell)
Pants: I have a pair of lightweight Sugoi Travel pants made out of the same fabric they use for long sleeve tees. These are very light, and not as warm as tights. I don't get very cold, so this setup works for me even down to 20 degrees or so. For very cold weather, or for racing/speed work, I'll wear tights. Tights feel a little more streamlined, like a ``second-skin'', which is what I want for racing.
Underwear: I recently picked up a pair of Sugoi Wind Boxers and I'm very happy with them. If you're going to wear lightweight pants or shorts in the wind, you really do need to protect the goods carefully with a good wind boxer or brief. Previously, I found cotton quite good (standard cotton briefs actually provide good protection from the cold), but wanted something which handled moisture a little better (cotton causes chaffing when it's wet. And you'd better hope that there's no accumulation of moisture near ``the little general''. A good alternative is to just wear shorts under your running tights or pants, but I find this annoying (running shorts aren't designed to be worn as undergarments, so they don't have flat elastic at the waist like boxers). Unless you have very warm bottoms, you will need good protective underwear.
Socks: If it's really cold, I wear thick ``holeproof explorer'' hiking socks, a gift from my Aussie families. The closest equivalent in the US is SmartWool. Otherwise, I wear middleweight acrylic socks from NB.