Fleece tights are the best - they give you an extra layer in your feet too!
I can’t say enough good things about Under Armour. Pricey, but so worth it in my opinion. I work as a riding instructor so I’m standing in the ring for hours in the cold. The Under Armour Base 4.0 leggings under my breeches keep me warm! I also wear their tops, and find that when I ride I don’t need much else other than maybe a fleece or a vest. So comfy! (I’m a big chicken about the cold too)
I went vintage yesterday with a pair of old flared breeches and some UnderArmor leggings. I got laughed at (in a nice way), but was warm, and hoped that the flared thighs might provide enough wind resistance to slow my fresh horsey down a little! 
Ditto the Smartwool socks, Patagonia or UA underlayers… and perhaps silk liners for your gloves. The one thing I haven’t seen mentioned yet is a cycling cap for under your helmet. I hate hate hate being cold and this was a biggie for me when I lived in the northeast … here is an example: http://amzn.to/2i2Qcr4. They fit just fine under your helmet and keep things cozy!
Lucassb - Those caps are amazing, and do a pretty good imitation of hunter hair if you buy a dark one! My ears would have dropped off years ago without one. The running caps that are thin on top aren’t bad either, but don’t seem to fit quite as tightly as the ones made for cycling.
I’m in the PNW, where we have had a record-breaking cold snap of a whole month of below-freezing weather :)!
Merino wool long johns under Kerrits fleece breeches. Mohair ski socks inside Ariat winter H20 paddock boots. From the inside out on top: microfleece base layer, wool sweater, fleece hoody, waterproof down parka with hood.
Toes, finger, head, really really matter.
It is also warmer to ride bareback. If you can pull that off. I can do WTC OK, posting trot is definitely harder, jumping would only be LEEEETLE jumps- No BIIIIIIIG jumps. Or me on ground- ground cold!!! Horsey buck and fart to keep warm!!! The end.
Update time!!!
So I rode in my lesson, I wound up wearing a pair of leggings under my breeches (cotton), my half chaps, tank top, layered with my long sleeve (my husband’s company gives them this certain shirt to keep them warm in the winter, and I have one in my size), and a fleece jacket. I survived!!! With the wind chill, it felt like it was 20, but by then end of my lesson, I was hot. Also, I NAILED MY CANTER finally!!! I also fixed my diagonal problem! My coach spent like 20 minutes just switching me from one diagonal to the other. It was fantastic. Adult 're-riding sucks! Lol.
