I'll second the Muck boots and recommend Mountain Horse coats and gloves.  I have all three, and no matter how cold it has gotten here in western PA, with these items on, I don't feel the cold.  Mountain Horse has different styles of coats, so you can pick what best suits your needs.  My coat has lots of pockets and zips on the sleeves and under the arms if you get too warm.  It also has a hood that would fit over a riding helmet.  I love my Mountain Horse coat, it's expensive but worth it. 

Spotted Pony

Dont take my layering into consideration when dressing yourself this winter. I leave the house looking like a marshmellow.

Going to the barn consists of breeches with jeans over.

Tanktop, Wool shirt, two sweatshirts and a carhart coat

on my feet i usually have regular socks and wool ski socks then my muck boots

I definatly need to upgrade my technology advanced clothing lol.

We dont necessarily have "freezing months" but I still get cold really easy.  I wear some long john called Cuddle Duds that I get from JcPenney and they are thin, soft and help cut the cold.  And I wear a long heavy wool navy coat to ride in. 

Here is a link to the Cuddle Duds:

http://www.essentialapparel.com/index.cfm/a/catalog.brandprodshowwithcat/catid/216/brandid/31/Cuddl-Duds-Outdoor-Warmth-Long-Underwear--Women

For those of you who liked the Mountain Horse boots her is a pair for $71.  And Anni they have a size 5.

 http://www.horseloverz.com/Mountain-Horse-Easy-Rider-Steel-Shoe-pr-165988.html

I got the new Equishopper mag along with my November Equus yesterday, and they had loads of cute cold weather gear in there.  Not necessarily my brands (or my pocketbook's) but I recognized some of them from this post, so y'all might want to check it out if you haven't already.

 All of the posts you have gotten so far sound great! I would just like to add that if you mostly ride without proper riding gear on, getting a nice pair of coveralls might be a good idea.  I don't ride in conventional riding clothes at all really (my fav summer riding pants are tye-died capri type pajama pants) but through the winter I have a nice pair of coveralls that work good for me.  Just don't get the really stiff kind.  It sounds really rednecky I'll admit (keep in mind I do live in Eastern NC) but it actually works quite well for a just throw on something over normal clothers and go type of riding.

 As has been suggested, having a thin layer close to the skin is very helpful.  Do don't have to buy these from the horsie catalogs - they're the same in the sports stores!  I really love glove liners and thinsulate socks.  As long as my fingers and toes stay warm, the rest of me does too.

I finally splurged on a winter coat meant for riding.  They fit a little closer and have a double vent in the back (like a show coat) to help with the fit in the saddle.  I love mine!

The next best purchase I made was a fleecy cover for my helmet.  My head stays warm and the flaps come down over my ears (they velcro under your chin, over the chin strap) to keep out the wind and help me stay nice and toasty.  I tried wearing a head band, but my helmet didn't fit right.

Good luck and stay warm!! 

Mountain Horse boots and Kerrits breeches are my staples, and waffle weave type long underwear tops (along with tee shirts, turtlenecks, sweatshirts, and a down vest).  Another thing I'd like to recommend is Ariat's winter jackets.  Their boots may be crap, but I have a down jacket from them that I'm just in love with.  A bit spendy, but worth it for me.  Oh, and on days that I'm not riding flannel-lined jeans from Marks Work Wearhouse are wonderful!

flakemusic:

Thanks TX, I'll have to check my mailbox! 

Although I'm mostly on the Ebay track, as retail is usually out of my budget. 

Oh I can relate!  I'll never understand why they make horse stuff so expensive; I mean, we own horses, they know we already don't have any money!! 

I usually end up wearing LAYERS until I feel like an overgrown marshmallow.  But last year I bought a quarter sheet for warming up in, and it surprised me at how nice and toasty it kept my legs.  If you put it over your legs and sort of tuck it in under your thighs, you can warm up pretty quickly that way.  Then I take off the quarter sheet until its time to cool down after the ride. 

Mine was only about $30 from Dover, but I bet you could find one cheaper on eBay.  :)

The only thing was that since Rizzie had never worn a blanket or anything before, she freaked out a little when she spooked at the indoor's main door and then the blanket flapped funny so she started bucking a little until she realized I was flying all over the place in the saddle and then stopped to see what was going on with me.  Haha.  So, if you use one of these, you may want to consider some desensitizing for Lily.  (even though she seems to be much more level-headed than Rizzie can be a times!

Here we go, here's a picture from last winter:

I love my Columbia Sportwear coats in the winter.  They're marketed more toward the ski/snowboard crowd, but they're also great for us riders!  They tend to be warm, waterproof, not too bulky, and allow for freedom of movement.  They can be kind of expensive in stores, but I've found good deals on ebay.

Good long-undies are a MUST.  And for gloves, they also make glove liners for an extra layer.  Thick wool socks are good, and hand/foot warmer packets from the local hunting supply store are wonderful for those really cold days.  I layer a turtleneck under my shirts to help keep my neck warm, and they do make insulated winter breeches or over-pants (kinda like snow pants for riders).

I totally live in an insulated flannel shirt/jacket when it starts to get cold.  They're not bulky at all but have lots of room underneath for layering.  I also buy plenty of those cheap little acrylic gloves you can get for like $1.50-2.00, also great for layering under heavier gloves.  I tried the silk underwear thing but it actually made me feel colder--go figure.  I have been accused of being backward so even though it didn't work for me it must work for others!

I love those quarter sheets--I got an inexpensive one off ebay.  A lady was selling her handmade ones and I got a cute horse print polarfleece.  I don't think my horse had ever seen one before but he was totally cool with it.  I flapped it all around and on him and he couldn't have cared less.  So that should keep us nice and cozy.

I'm from Michigan and live close to Lake Michigan, so I know what you're talking about when you say Chicago winters. I'm a big fan of Underarmor and usually wear a pair of Underarmor pants underneath regular riding breeches. I also wear thick wool socks (I also do a lot of shopping for this stuff at Cabela's- its sells a ton of clothes for deer hunting, which is usually really warm and works really well). For my top, I layer up. An underarmor shirt on the bottom and just layer up the rest- a long sleeve shirt or two, sweatshirt, jacket, and then either my Carhartt coat or a down coat (down is definitely the warmest coat insulator and I heartily recommend it). I'm still searching for the perfect pair of gloves, but I have thinsulate gloves that are pretty good right now. I also have winter riding boots that are AMAZING!! but I'm not exactly sure what they are as they are in the trunk of my car right now (sorry). Also, another little trick I do on the coldest days is tucking hand/foot warmers in both my pockets and the toes of my boots. It adds warmth and if your hands still get cold, you can just tuck them in your pockets and warm them up for a moment! Hope this helps!