I bought a set 0f Patagonia underwear about 15 years ago to wear when, of all things, I was playing golf in the winter. The first time I wore the outfit (they fit snug like ladies pantyhose) I had to stop at the first bathroom and take off the bottoms. I learned that if I am moving around at all I can't wear them. (I walk when I play golf) .
So they have been reserved for the deer stand and the boat. I tried to find another set recently. I got these at a store called the Backpacker, which specializes in outdoor gear. The closest thing I have seen to them is made my UnderArmour cold gear. I still am amazed that something this thin and this light can be so warm. Not cheap, about $80 for each piece, but I have not been cold since I got it.
This is under my pants and shirt and depending on how cold, I wear my goretex pants and jacket or if it is really cold a ski bib.