Why layer?
Layering does two things: provides enough material to keep you sufficiently warm and arranges it in a way to wick moisture off your skin. It's easier to stay warm when you're dry, and multiple layers create multiple opportunities for insulation.
Part of the warming effect of technical clothing comes from a thin layer of air between you and the garment. Your first layer may be very close fitting, but the next layer will have some air. Add a third layer that also has some air and you have extra "insulation" -- warmed air in your clothing helping to keep you warmer.
Layering is important, because that warmth isn't just about having a pleasant day. Your performance -- strength, reflexes, and judgment -- go straight downhill when you're cold. Between the rise in popularity of backcountry sports and the fact that the unexpected just plain happens, appropriate clothes are among the most important tools for staying safe in the outdoors. It's more than "dress for success" -- the right clothes can save your life!
The Basics
Three types of layers protect you from the cold.
Wicking: A wicking layer is a layer of thin fabric right on your skin. Many people wear polyester or silk for this purpose. As with most technical uses, you should avoid cotton -- it takes a long time to dry, and the last thing you need is wet fabric chafing your skin all day. Silk and polyester pull moisture off your skin and dry more quickly. Long sleeves, mock turtlenecks, and tights are best for this layer.
Warming: The warming layer is sandwiched between the wicking layer and the outer layer. Polyester fleece and wool are best for this layer, and the thickness of the fabric depends on how cold, wet, and windy it is and how much time you'll be outdoors. It's probably not a bad idea to go on the thick side -- if you heat up, you can often just open a zipper a bit to cool back down again.
Windproofing/Waterproofing: The top layer is to protect you from wind and rain. Nylon of various weights and treated nylon are the choices for this layer. Examine your options for an outer layer carefully: some pieces of gear are better designed than others, with more pockets and zippers to make them easier to use -- and make it easier to regulate your temperature. Every really useful outdoor jacket has "pit zips" -- zippers that open under the arms to create some venting. Pit zips let you vent some heat without opening the front of your jacket, which is both less efficient for venting heat and much more of a problem, say, if you're gathering speed on your way down the slope.
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