What I wear depends on just how cold it is.
For milder winter temperatures, say upper 30's, I'll just wear layers of clothing under a BPS 100 mph rain suit. It's windproof, rainproof and warm enough to stay comfortable all day.
For colder temps, down to mid 20's, I wear the lightweight Artic Armour float suit
Arctic Armor Products - Products. Again, it's windproof, rainproof, a float suit and since it's colored black it absorbs those sun rays and helps to warm you on those rare days the sun pokes out.