I find it's best to mix and match. Fleece of various weights plus an UNinsulated goretex shell. I got a marmot precip for $50 in the off season. I can wear it year round as a rain jacket and add as many layers as I want underneath for warmth. Just be sure to use REAL fleece and not cotton. Of couse you can always use down or another lofting product, but this is expensive, usually. REI has a primaloft jacket with zipoff sleeves, or you can use a montbell themawrap or something if you have a little extra money. If you really want to splurge, get an eVent shell to wear over your fleece or whatever.

A true winter shell might have better air sealing, such as a snow skirt. if you need this, be sure you get it. My precip for example is extremely drafty if I try to use the pockets since they are mesh inside.

Personally, I don't wear much down, since I sweat a lot.