I bring a change of socks, and a change of underwear. Depending on weather forecast, I might also take a spare T-shirt and shorts, and a second chang of socks. This is in addition to rain gear, which doubles as wind garments.

Cold weather adds in a set of long johns (which may end up being worn most of the time), down jacket, and (depending on temperatures) a down vest and down pants. Also the accessories: hat, gloves, and such.