I went to school in Colorado in the seventies, and down was the thing. In extreme cold, when x-country skiing, I wore thermal underwear, a pullover sweatshirt (somewhat light as they go), down vest, and a 60/40 shell parka with hood. I had a full down coat in my pack.
Today, I backpack in VA and WV, mostly 3 season but get in some winter camping and snowshoeing when we are graced with a little snow. My basic load is fleece - longjohns still (silk rather than the wool fishnet I used to use), pullover lightweight polar tech, polyester, or powerflite shirt, fleece vest or jacket, with whichever I don't wear in my pack, and an REI taku jacket, which makes a versatile wardrobe. For the pants, I have a Mountain Hardware brand of outer winter pant that zips all the way up the side, eliminating the hassle of boots on and off. I also have a pair of cheaper fleece pants, that I use more often actually, that also zip up the side but only to just below the knee. With high gaiters, my bottom is taken care of. In this climate I usually hike in, there is little use for a lot of cold weather layering, and it is easier to err on the side of being too hot than cold.
I honeymooned this November in Iceland, and I used the same ensemble I use here, just most all of it: longjohns, pullover polar tech, fleece jacket, parka shell; handwear - smartwool mittens with breakaway palms (you know, for fishing and active outdoor sports); headwear - fleece monkeyhat from REI (I bought an Icelandic sheepwool hat that I will use often now)over a light synthetic balaclava (in my parka pocket - I added it when the wind started really biting my face); feet - mukluks (arctic model, Steger). I have found that the key to warmth is feet, head, and hands. Keep those warm and the rest of the body is easier to manage. In Iceland I stood out in freezing night blizzard conditions toasty warm and happy thanks to mukluks and balaclava/hat combination.
My layers are light, easy to carry and put on or strip off. Fleece is a workhorse and will take a lot of abuse. It drys fast as well. I love the side-zip pants for serious mountain cold conditions, but they are a bit bulky to just carry.
I also like one piece coveralls, but since I overheat easily I don't own them, just have rented occasionally for day hikes and skiing.