I didn't believe it till I tried it, but merino wool is the best fiber in the world for comfort in the cold, and even in very mild temperatures. It breathes, it's washable, it doesn't retain odors, and it remains warm even when you're sweaty. And it comes in a variety of thicknesses. I've got a pair of leggings no thicker than regular tights that I can wear under dress trousers without bulk, and be comfortable on all but the coldest days here in Portland.

I wouldn't dream of trying to get through a winter anymore without my merino wool. And if you shop around, you don't need to pay a lot for it. I've found some good stuff at Sierra Trading Post (check the "Woolskins" brand, among others).

I hope you try winter riding. It's my favorite kind.