So far I've tried two approaches. The first was the, "eh, I'll warm up after a mile" approach. Running capris, short sleeved moisture wick T and a baseball hat. I was sweating after a mile, but I had goosebumps on my arms and legs the whole time.
The second approach was, "Let's pretend we're in Alaska." On top of my one pair of full-length sweatpants and a tank, I layered two sweatshirts (one was mine, one was my husband's and very heavy) and wore a thick canvas cap. After about ten minutes of running, I kind of felt like I was sprinting in a sauna. But, I highly recommend this outfit if you do live in Alaska.
So what do you wear when the winter weather is "mild" (any location that gets more than two seasons) or "bone-chillingly cold" (South Florida and locations with similar tropical climates)?