For outdoor cold weather activities I much prefer to do a lot of layering rather than relying on a single piece of gear. I back country ski and you don't want to allow yourself to sweat and freeze. I generally wear 4 plus layers. Wool long sleeve, synthetic mid layer, down puffy, 3 ply gortex shell. Depending on anticipated temps and conditions I might subtract layers or add some other wool or synthetic layers.

And then there is also the option of adding chemical heaters.

I have a friend who works as an Olympic sledding official (skeleton,luge, bobsled). She spends a lot of time standing around on ice in a non physical capacity, so she doesn't generate heat. She swears by battery powered heated jackets.