I sleep in my Capilene base layer and add a beanie, gloves and socks if cold. I tried wearing a balaclava, but it was too uncomfortable. One thing to remember, if you wake up cold, eat something like a Powerbar or Clif Bar. I keep one where I can find it and my headlamp in the dark and will eat half if cold. Half works for me, but someone bigger might need a whole one.

I'm with MG-cold hands are not fun. I bought a pair of heavy duty mitts at the end of last winter (on sale from STP) to try out this winter. If you do buy mitts, make sure they are big enough to fit over a fleece liner glove or something similar. I exchanged mine for a bigger pair for that reason.