If you find yourself asking this question each year shortly after daylight savings time kicks in, then you need to pay close attention. There is no need to freeze when the weather turns cold. The proper clothing and proper clothing layers can eliminate any discomfort that winter typically causes. When I say proper clothing, I'm refering to the design of the clothing as well as the materials used to make it. For proper clothing layers, you can read my Layering Guide
for a complete description of proper clothing layer techniques.
So, lets talk about proper clothing. What will keep you the warmest? There are two factors to consider here. First, you want a material that has a very low heat transfer. This means that the material stay warm longer once it is heated by your body. Second, you want a fabric that will trap as much air inside of it as possible. Air is a perfect insulator. So the more of it that is trapped inside a fabric, the warmer it will be. Fleece fabrics have excellent insulating properties because they trap heat in between all of the fluffy fibers. One fabric out there that maximized both of these insulating properties is called polypropylene fleece. Polypropylene has the lowest thermal conductivity of any clothing fabric produced. Because of this, the fleece version of polypropylene retains more warmth than almost anything else you'll find. There are plenty of other similar fabrics. Polyester fleece is probably the second best insulator. Polyester also has a low thermal conductivity. There is an added bonus to polypropylene and polyester fleece clothing. They both retain warmth when wet. So, if you start to sweat a little, you will not get cold like you would with a cotton fabric.
So, stop freezing your way through the winter. Proper dress means starting with the right long johns
and then utilizing the proper clothing layers.