I'm pretty much in line with everyone else. I would also suggest a down vest. They are light and warm and work well under a light jacket.
FYI, the parka in my picture is superwarm, but no one, including me, could wear it indoors for more than a minute or two; I know, I tried. That's the whole point.
Layering is the answer. In winter, I usually have on a Capilene base layer, fleece jacket and if really cold, the down parka and insulated pants. If it isn't that cold, off comes the pants and parka and I just wear a pair of Marmot Precip pants and the fleece. If it's windy or snowing, I have an REI rainjacket. Not the lightest combo of stuff, but pretty versatile.

There are lots of good jackets of one sort or another. I'm not that keen on spending huge amounts of money on them, though. I did pick up a brand new Marmot jacket with a removable liner for $50 in a secondhand shop. Came off a film set and looks like it never was worn. I doubt the shop had any idea what it was worth. My point is that deals like that are out there if you look around.