Used to be I'd race in shorts and a singlet and wear a lot of Ben-Gay on the exposed parts (just remember to wash your hands before going to the bathroom - that stuff burns).
These days I like to dress a little more, but still try for as little as I can get away with, but I rarely expose my arms and legs when it's cold - I particularly like to keep the knees and leg muscles comfortable. I picked up a Nike ACG shirt last year at one of their outlets - sort of fleece stuff, zippered neck, very nice. Road Runner Sports does some nice heavy weight tights / shirts too which I find are reasonably water resistant (check out their outlet specials). I also wear Wind Briefs (they have a nylon panel in the front) to keep the tackle a little cosier when it dips below 20 or so.
Oh, and they were the subject of some debate here when I bought them last year, and much of what the naysayers said was true about my Salomon GTX gore-tex shoes (when it's raining hard or you go through deep water they fill up and don't drain well) but they do a great job of keeping my feet warm, including when I'm running through snow.