I'm warm-blooded by nature and don't get cold easily. Even in subzero conditions, which descend upon my region regularly throughout winter, I don't layer-up the way some people do. A sturdy coat, regular pants, mittens, and a seasonal hat usually do the trick for me. I was made to dwell in Antarctica.
If you're searching for extraordinary warmth, any species of thermal undergarments (which cover the torso and arms as well as the legs) will do the trick. Fruit of the Loom, Hanes, and Jockey all make more than functional versions. Put a shirt and pants over those, along with a heavy coat, and you should retain all the heat you require.