It's a difficult balance. I try to walk at least 5km after work at least four times a week, and typically aim for 10km twice a week, after work including in the winter and there's a massive difference between slogging through knee deep snow and standing around. It's part of why I do the walking, much more bearable to spend a half hour walking than a half hour standing around waiting for the bus.
For most of last winter I was really just wearing some wool socks, my $100 Columbia boots I got from Sears, some stanfield longjohns, my 5.11 tac pants, a tshirt, a longsleeved shirt, a hooded sweater, my woolrich coat, some thin gloves, my national geographic buff, and my shemagh.
Those buffs don't look like much, but they make a massive difference. If you don't know what a buff is, it's basically a fabric tube. Twist it in the center and pull it it inside out to make a toque, that's how I usually wear it. Or just twist it over itself to make a scarf/half mask. That's what I did until I got my shemagh.
A good hood, in my case from a Cat sweater, is amazing. Something good on your head and something good on your feet makes everything in between feel much better.
You can occasionally find some good deals off, I got my woolrich coat something like $100 off at Atmosphere because I picked it up during a spring sale and they needed to get rid of it to make room for shorts and sandals and stuff. I think mine might be a Chinese knockoff though, because it doesn't show up on the Woolrich website. Either way, it works.
